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Other titles in the Springer Texts in Business and Economics series:

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

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Introduction to Modern Time Series Analysis (Springer Texts in Business and Economics) Cover

 

Synopses & Reviews

Publisher Comments:

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.

Synopsis:

This book presents modern methods of time series econometrics and their applications to macroeconomics and finance. It includes numerous examples and analyses based on real economic data.

Table of Contents

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

Product Details

ISBN:
9783642334351
Author:
Kirchg Ssner, Gebhard
Publisher:
Springer
Author:
Kirchgassner, Gebhard
Author:
Hassler, Uwe
Author:
Wolters, Jurgen
Subject:
Econometrics
Subject:
Statistics for Business/Economics/Mathematical Finance/Insurance
Subject:
Game Theory, Economics, Social and Behav. Sciences
Subject:
Macroeconomics/Monetary Economics
Subject:
financial economics
Subject:
Mathematics-Modeling
Copyright:
Edition Description:
2nd ed. 2013
Series:
Springer Texts in Business and Economics
Publication Date:
20121128
Binding:
HARDCOVER
Language:
English
Pages:
331
Dimensions:
235 x 155 mm

Related Subjects

Business » Accounting and Finance
Health and Self-Help » Health and Medicine » Medical Specialties
History and Social Science » Economics » General
Science and Mathematics » Mathematics » Modeling

Introduction to Modern Time Series Analysis (Springer Texts in Business and Economics) New Hardcover
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Product details 331 pages Springer - English 9783642334351 Reviews:
"Synopsis" by , This book presents modern methods of time series econometrics and their applications to macroeconomics and finance. It includes numerous examples and analyses based on real economic data.
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