Time Series for Economics and Finance

A rigorous guide to essential time series methods and applications for the next generation of economists.

Oliver Linton (Author)

9781009396295, Cambridge University Press

Hardback, published 19 December 2024

450 pages
25.9 x 18.2 x 2.6 cm, 1.09 kg

'Time Series for Economics and Finance is an invaluable resource for advanced students and professionals in economics, finance, and statistics. It offers a thorough exploration of modern time series techniques, including Bayesian methods and machine learning, tailored specifically to real-world applications. This textbook is essential for anyone looking to deepen their understanding of time series analysis in economic and financial contexts.' Yoon-Jae Whang, Seoul National University

Focusing on methods for data that are ordered in time, this textbook provides a comprehensive guide to analyzing time series data using modern techniques from data science. It is specifically tailored to economics and finance applications, aiming to provide students with rigorous training. Chapters cover Bayesian approaches, nonparametric smoothing methods, machine learning, and continuous time econometrics. Theoretical and empirical exercises, concise summaries, bolded key terms, and illustrative examples are included throughout to reinforce key concepts and bolster understanding. Ancillary materials include an instructor's manual with solutions and additional exercises, PowerPoint lecture slides, and datasets. With its clear and accessible style, this textbook is an essential tool for advanced undergraduate and graduate students in economics, finance, and statistics.

Preface
1 Introduction
2. Stationarity and mixing
3. Linear time series models
4. Spectral analysis
5. Inference under heterogeneity and weak dependence
6. Nonstationary processed, trends and seasonality
7. Multivariate linear time series
8. Stae space models and Kalman filter
9. Bayesian methods
10. Nonlinear time series models
11. Nonparametric methods and machine learning
12. Continuous time processes
Bibliography
Index.

Subject Areas: Econometrics [KCH]