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Introduction To Modern Time Series Analysis.

Introduction To Modern Time Series Analysis.

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  • ISBN:9783540732907
  • Editorial: Springer
  • Fecha de la edición:
  • Encuadernación:Tapa dura
  • Dimensiones: 0 cm x 0 cm
  • Nº Pág.:274
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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.

Preface
1 Introduciton and basics 1
2 Univariate stationary processes 27
3 Granger causality 93
4 Vector autoregressive processes 125
5 Nonstationary processes 153
6 Cointegration 199
7 Autoregressive conditional heteroskedasticity 241
Index of names and authors 267
Subject index

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