Introduction to Modern Time Series Analysis is popular PDF and ePub book, written by Gebhard Kirchgässner in 2012-10-09, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Introduction to Modern Time Series Analysis can be Read Online from any device for your convenience.
Introduction to Modern Time Series Analysis Book PDF Summary
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.
Detail Book of Introduction to Modern Time Series Analysis PDF
- Author : Gebhard Kirchgässner
- Release : 09 October 2012
- Publisher : Springer Science & Business Media
- ISBN : 9783642334351
- Genre : Business & Economics
- Total Page : 326 pages
- Language : English
- PDF File Size : 7,7 Mb
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