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Introduction to Modern Time Series Analysis [Elektronisk resurs] / by Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler.

Kirchgässner, Gebhard. (författare)
Wolters, Jürgen. (författare)
Hassler, Uwe. (författare)
SpringerLink (Online service) 
ISBN 9783642334368
2nd ed. 2013.
Publicerad: Berlin, Heidelberg : Springer Berlin Heidelberg : 2013
Engelska XII, 319 p. 42 illus.
Serie: Springer Texts in Business and Economics, 2192-4333
  • E-bok
Innehållsförteckning Sammanfattning Ämnesord
Stäng  
  • Introduction and Basics -- Univariate Stationary Processes -- Granger Causality -- Vector Autoregressive Processes -- Nonstationary Processes -- Cointegration -- Nonstationary Panel Data -- Autoregressive Conditional Heteroscedasticity.
  • 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.  

Ämnesord

Economics.  (LCSH)
Mathematics.  (LCSH)
Econometrics.  (LCSH)
Macroeconomics.  (LCSH)
Finance.  (LCSH)
Economics  -- Statistics. (LCSH)
Economics/Management Science. 
Econometrics. 
Statistics for Business/Economics/Mathematical Finance/Insurance. 
Game Theory, Economics, Social and Behav. Sciences. 
Macroeconomics/Monetary Economics. 
Financial Economics. 

Klassifikation

HB139-141 (LCC)
KCH (ämneskategori)
BUS021000 (ämneskategori)
330.015195 (DDC)
Qa (kssb/8 (machine generated))
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"Introduction to Modern Time Series Analysis" finns i 3 utgåvor på 1 språk

Engelska (3)

Engelska (3)

TitelUpplagaÅrMaterialtypHitta
Introduction to Modern Time Series Analysis [Elektron...2nd ed. ...2013 8 bibl.
Introduction to modern time series analysis / Gebhard...2008 0 bibl.
Introduction to Modern Time Series Analysis [electron...2007 8 bibl.
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