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Introduction to Modern Time Series Analysis

Introduction to Modern Time Series Analysis - Springer Texts in Business and Economics

Second edition

Paperback (09 Nov 2014)

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Publisher's 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.

 

Book information

ISBN: 9783642440298
Publisher: Springer Berlin Heidelberg
Imprint: Springer
Pub date:
Edition: Second edition
DEWEY: 330.0151955
DEWEY edition: 23
Language: English
Number of pages: 320
Weight: 508g
Height: 236mm
Width: 156mm
Spine width: 23mm