Introduction to modern time series analysis

Autori

• Gebhard Kirchgässner

Parametri

• Economia
• Economia e affari
• Springer texts in business and economics

Maggiori informazioni sul libro

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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Lingua: Inglese

Pubblicato: 2013

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