Introduction to Modern Time Series Analysis - Couverture souple

Kirchgässner, Gebhard; Wolters, Jürgen; Hassler, Uwe

Couverture souple

ISBN 10 : 3642440290 ISBN 13 : 9783642440298

Editeur : Springer, 2014

Synopsis

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.

A propos du livre

Présentation de l'éditeur

This book presents modern methods of time series econometrics and their applications to macroeconomics and finance. It includes numerous examples and analyses based on real economic data.

Détails de l'édition

• Éditeur: Springer
• Date d'édition: 2014
• Langue: anglais
• ISBN 10: 3642440290
• ISBN 13: 9783642440298
• Reliure: Broché
• Numéro d'édition: 2
• Nombre de pages: 332
• Coordonnées du fabricant: non disponible
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