Abstract
The econometric analysis of economic, financial and business time series has become an integral part in the research and application of quantitative descriptions of the real world. A time series typically consists of a set of observations of some observational unit or variable, y, which is taken at equally spaced intervals over time (Harvey 1993). A time series can be considered from two aspects—analysis and modelling. The objective of a time series analysis is to identify and summarize its properties and describe its prominent characteristics. The analysis can be framed in either the time domain or the frequency domain. In the time domain, the focus is on the relationship between observations at various points in time, whereas in the frequency domain, the analysis focuses on the cyclical movements of a series.
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Rogers, J. (2019). Financial Statistics. In: Strategy, Value and Risk. Global Financial Markets. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-030-21978-9_4
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DOI: https://doi.org/10.1007/978-3-030-21978-9_4
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