By Gebhard Kirchgässner, Jrgen Wolters,
Publisher: Springer
Number Of Pages: 284
Publication Date: 2007-09-01
Sales Rank: 1024695
ISBN / ASIN: 354073290X
EAN: 9783540732907
Binding: Hardcover
Manufacturer: Springer
Studio: Springer

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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