Springer Texts in Business and Economics

Introduction to Modern Time Series Analysis

Authors: Kirchgässner, Gebhard, Wolters, Jürgen, Hassler, Uwe

  • Presents modern methods of time series econometrics and their applications to macroeconomics and finance
  • With numerous examples and analyses based on real economic data
  • Helps to acquire a rigorous understanding of the methods and to develop empirical skills
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eBook $69.99
price for USA (gross)
  • ISBN 978-3-642-33436-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Hardcover $99.00
price for USA
  • ISBN 978-3-642-33435-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $99.00
price for USA
  • ISBN 978-3-642-44029-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

 

Table of contents (8 chapters)

  • Introduction and Basics

    Kirchgässner, Gebhard (et al.)

    Pages 1-25

  • Univariate Stationary Processes

    Kirchgässner, Gebhard (et al.)

    Pages 27-93

  • Granger Causality

    Kirchgässner, Gebhard (et al.)

    Pages 95-125

  • Vector Autoregressive Processes

    Kirchgässner, Gebhard (et al.)

    Pages 127-154

  • Nonstationary Processes

    Kirchgässner, Gebhard (et al.)

    Pages 155-203

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-642-33436-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $99.00
price for USA
  • ISBN 978-3-642-33435-1
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $99.00
price for USA
  • ISBN 978-3-642-44029-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Introduction to Modern Time Series Analysis
Authors
Series Title
Springer Texts in Business and Economics
Copyright
2013
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-642-33436-8
DOI
10.1007/978-3-642-33436-8
Hardcover ISBN
978-3-642-33435-1
Softcover ISBN
978-3-642-44029-8
Series ISSN
2192-4333
Edition Number
2
Number of Pages
XII, 320
Topics