現代時系列分析入門 Introduction to Modern Time Series Analysis

Kirchgässner, G./ Wolters, J.

Springer（2007/07発売）

• 製本 Hardcover:ハードカバー版／ページ数 274 p.
• 商品コード 9783540732907

基本説明

New in paperback. Hardcover was published in 2007. Presents modern developments in time series econometrics that are applied to macroeconomic and financial time series.

Full Description

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.

Contents

Introduction and Basics.- Univariate Stationary Processes.- Granger Causality.- Vector Autoregressive Processes.- Nonstationary Processes.- Cointegration.- Autoregressive Conditional Heteroskedasticity.