Introduction to Modern Time Series Analysis

Introduction to Modern Time Series Analysis pdf epub mobi txt 電子書 下載2025

出版者:Springer
作者:Gebhard Kirchgässner
出品人:
頁數:274
译者:
出版時間:2008-10-10
價格:USD 59.95
裝幀:Paperback
isbn號碼:9783540687351
叢書系列:
圖書標籤:
  • 過程控製 
  • statistics 
  •  
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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.

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