Stochastic integration and time series modeling. An introduction with applications from financing and econometries.

DOI10.1007/978-3-540-73568-7zbMath1180.62122OpenAlexW4256416727MaRDI QIDQ2382314

Publication date: 8 October 2007

Published in: Statistik und ihre Anwendungen (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-73568-7

zbMATH Keywords

Wiener process stochastic differential equations cointegration time series analysis regression interest rate models Ito integral ARMA-process ARCH-process GARCH-process

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Diffusion processes (60J60) Stochastic integrals (60H05)

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