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Autor(en): 
  • Klaus Neusser
  • Time Series Econometrics 
     

    (Buch)
    Dieser Artikel gilt, aufgrund seiner Grösse, beim Versand als 3 Artikel!


    Übersicht
     
    Lieferstatus:   i.d.R. innert 4-7 Tagen versandfertig
    Veröffentlichung:  Juli 2016  
    Genre:  Wirtschaft / Recht 
    ISBN:  9783319328614 
    EAN-Code: 
    9783319328614 
    Verlag:  Springer-Verlag GmbH 
    Einband:  Gebunden  
    Sprache:  English  
    Dimensionen:  H 244 mm / B 164 mm / D 32 mm 
    Gewicht:  810 gr 
    Seiten:  409 
    Illustration:  Bibliographie 
    Zus. Info:  Book 
    Bewertung: Titel bewerten / Meinung schreiben
    Inhalt:
    This text presents modern developments in time series analysis and focuses on their application to economic problems. The book first introduces the fundamental concept of a stationary time series and the basic properties of covariance, investigating the structure and estimation of autoregressive-moving average (ARMA) models and their relations to the covariance structure. The book then moves on to non-stationary time series, highlighting its consequences for modeling and forecasting and presenting standard statistical tests and regressions. Next, the text discusses volatility models and their applications in the analysis of financial market data, focusing on generalized autoregressive conditional heteroskedastic (GARCH) models. The second part of the text devoted to multivariate processes, such as vector autoregressive (VAR) models and structural vector autoregressive (SVAR) models, which have become the main tools in empirical macroeconomics. The text concludes with a discussion of co-integrated models and the Kalman Filter, which is being used with increasing frequency. Mathematically rigorous, yet application-oriented, this self-contained text will help students develop a deeper understanding of theory and better command of the models that are vital to the field. Assuming a basic knowledge of statistics and/or econometrics, this text is best suited for advanced undergraduate and beginning graduate students.

      
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