Introduction to Modern Time Series Analysis

2nd ed. 2013.
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Last edited by ImportBot
March 1, 2022 | History

Introduction to Modern Time Series Analysis

2nd ed. 2013.
  • 1 Want to read

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.

Publish Date
Language
English
Pages
319

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Previews available in: English

Edition Availability
Cover of: Introduction to Modern Time Series Analysis
Introduction to Modern Time Series Analysis
2014, Springer Berlin / Heidelberg
in English
Cover of: Introduction to Modern Time Series Analysis
Introduction to Modern Time Series Analysis
2013, Springer Berlin Heidelberg, Imprint: Springer
electronic resource / in English - 2nd ed. 2013.
Cover of: Introduction to Modern Time Series Analysis
Introduction to Modern Time Series Analysis
Oct 10, 2008, Springer
paperback
Cover of: Introduction to Modern Time Series Analysis
Introduction to Modern Time Series Analysis
2007, Springer
in English

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Book Details


Table of Contents

Introduction and Basics
Univariate Stationary Processes
Granger Causality
Vector Autoregressive Processes
Nonstationary Processes
Cointegration
Nonstationary Panel Data
Autoregressive Conditional Heteroscedasticity.

Edition Notes

Published in
Berlin, Heidelberg
Series
Springer Texts in Business and Economics

Classifications

Dewey Decimal Class
330.015195
Library of Congress
HB139-141

The Physical Object

Format
[electronic resource] /
Pagination
XII, 319 p. 42 illus.
Number of pages
319

ID Numbers

Open Library
OL27046955M
Internet Archive
introductiontomo00kirc_955
ISBN 13
9783642334368

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History

Download catalog record: RDF / JSON / OPDS | Wikipedia citation
March 1, 2022 Edited by ImportBot import existing book
July 1, 2019 Created by MARC Bot Imported from Internet Archive item record