bokomslag Introduction to Modern Time Series Analysis
Samhälle & debatt

Introduction to Modern Time Series Analysis

Gebhard Kirchgssner Jrgen Wolters Uwe Hassler

Inbunden

1349:-

Funktionen begränsas av dina webbläsarinställningar (t.ex. privat läge).

Uppskattad leveranstid 7-12 arbetsdagar

Fri frakt för medlemmar vid köp för minst 249:-

Andra format:

  • 320 sidor
  • 2012
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.
  • Författare: Gebhard Kirchgssner, Jrgen Wolters, Uwe Hassler
  • Format: Inbunden
  • ISBN: 9783642334351
  • Språk: Engelska
  • Antal sidor: 320
  • Utgivningsdatum: 2012-10-09
  • Förlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. K