UID:
almahu_9949285163702882
Umfang:
XII, 320 p.
,
online resource.
Ausgabe:
2nd ed. 2013.
ISBN:
9783642334368
Serie:
Springer Texts in Business and Economics,
Inhalt:
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. .
Anmerkung:
Introduction and Basics -- Univariate Stationary Processes -- Granger Causality -- Vector Autoregressive Processes -- Nonstationary Processes -- Cointegration -- Nonstationary Panel Data -- Autoregressive Conditional Heteroscedasticity.
In:
Springer Nature eBook
Weitere Ausg.:
Printed edition: ISBN 9783642334351
Weitere Ausg.:
Printed edition: ISBN 9783642334375
Weitere Ausg.:
Printed edition: ISBN 9783642440298
Sprache:
Englisch
DOI:
10.1007/978-3-642-33436-8
URL:
https://doi.org/10.1007/978-3-642-33436-8
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