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Time Series Econometrics
Klaus Neusser
€ 163.08
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Description for Time Series Econometrics
Hardback. Presenting modern developments in time series analysis, this book focuses on their application to economic problems. It introduces the concept of a stationary time series and the basic properties of covariance, moves to non-stationary time series, and discusses volatility models. The second part of the text is devoted to multivariate processes. Series: Springer Texts in Business and Economics. Num Pages: 433 pages, 2 black & white illustrations, 64 colour illustrations, biography. BIC Classification: KCH; PBT. Category: (G) General (US: Trade). Dimension: 244 x 161 x 30. Weight in Grams: 812.
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 ... Read more
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 ... Read more
Product Details
Format
Hardback
Publication date
2016
Publisher
Springer International Publishing AG
Condition
New
Series
Springer Texts in Business and Economics
Number of Pages
409
Place of Publication
Cham, Switzerland
ISBN
9783319328614
SKU
V9783319328614
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Klaus Neusser
Prof. Klaus Neusser
Reviews for Time Series Econometrics
The present monograph is a practical and comprehensive introduction to an area that lies at the core of econometrics. ... It requires minimal prerequisites, and is almost surely accessible to senior undergraduate or beginning graduate students, and certainly to independent researchers ... . I find this book to be a valuable addition to the monographic literature on time series. ... Read more