Introduction to Modern Time Series Analysis

Gebhard Kirchgässner, Jürgen Wolters (Autoren)

Buch | Hardcover

X, 274 Seiten

2007
Springer Berlin (Verlag)
978-3-540-73290-7 (ISBN)

Infos

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It contains the most important approaches to analyze time series which may be stationary or nonstationary.

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This book contains the most important approaches to analyze time series which may be stationary or nonstationary. It starts with modeling and forecasting univariate time series and then presents Granger causality tests and vector autoregressive models for multiple stationary time series. It also covers modeling volatilities of financial time series with autoregressive conditional heteroskedastic models.

Autor

Gebhard Kirchgässner ist Professor für Volkswirtschaftslehre und Ökonometrie an der Universität St. Gallen.

Inhalt

Introduction and Basics.- Univariate Stationary Processes.- Granger Causality.- Vector Autoregressive Processes.- Nonstationary Processes.- Cointegration.- Autoregressive Conditional Heteroskedasticity.

Produkt-Details

• Erscheint lt. Verlag: 5.9.2007
• Sprache: englisch
• Maße: 155 x 235 mm
• Gewicht: 545 g
• Einbandart: gebunden
• Themenwelt: Wirtschaft ► Allgemeines / Lexika
• Schlagworte: Cointegration • Granger Causality • Unit Roots • Vector Autoregressive Models • Vektoranalysis • Volatility
• ISBN-10: 3-540-73290-X / 354073290X
• ISBN-13: 978-3-540-73290-7 / 9783540732907
• Zustand: Neuware