2013  Buch
Introduction to Modern Time Series Analysis
Über dieses Buch
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.
 Titel
 Introduction to Modern Time Series Analysis
 Verlag

Springer Berlin Heidelberg
 Print ISBN
 9783642334351
 Electronic ISBN
 9783642334368
 CopyrightJahr
 2013
 DOI

https://doi.org/10.1007/9783642334368
 Autoren:

Gebhard Kirchgässner
Jürgen Wolters
Uwe Hassler
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