Introduction to Modern Time Series Analysis
ISBN
978-3-540-73290-7
Type
book
Date Issued
2007
Author(s)
Abstract
This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series. It attempts to bridge the gap between methods and realistic applications. This book contains the most important approaches to analyse 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 autoregressive models are presented. For real applied work the modelling of nonstationary uni- or multivariate time series is most important. Therefore, unit root and cointegration analysis as well as vector error correction models play a central part. Modelling volatilities of financial time series with autoregressive conditional heteroskedastic models is also treated.
Language
English
HSG Classification
contribution to education
Refereed
No
Publisher
Springer
Publisher place
Berlin
Start page
274
Subject(s)
Eprints ID
52116