Introduction to Modern Time Series Analysis

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Springer Science & Business Media, Aug 27, 2008 - Business & Economics - 274 pages
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This book contains the most important approaches to analyze time series which may be stationary or nonstationary. It starts with modeling and forecasting univariate time series and then presents Granger causality tests and vector autoregressive models for multiple stationary time series. It also covers modeling volatilities of financial time series with autoregressive conditional heteroskedastic models.

 

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Contents

II
1
III
2
IV
5
V
12
VI
21
VII
22
VIII
27
X
57
XXVII
149
XXVIII
150
XXIX
153
XXXI
159
XXXII
163
XXXIII
180
XXXIV
187
XXXV
191

XI
67
XII
75
XIII
87
XIV
88
XV
93
XVI
95
XVII
97
XVIII
102
XIX
114
XX
118
XXI
120
XXII
125
XXIII
127
XXIV
136
XXV
138
XXVI
144
XXXVI
194
XXXVII
199
XXXVIII
203
XXXIX
205
XL
218
XLI
234
XLII
235
XLIII
241
XLIV
245
XLV
252
XLVI
259
XLVII
261
XLVIII
263
XLIX
267
L
271
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About the author (2008)

Kirchgassner is Professor of Economics at the University of St. Gallen, Switzerland.

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