Table of contents

  1. Front Matter
    Pages i-xxiv
  2. Univariate Time Series Analysis

    1. Front Matter
      Pages 1-1
    2. Klaus Neusser
      Pages 25-44
    3. Klaus Neusser
      Pages 45-66
    4. Klaus Neusser
      Pages 87-108
    5. Klaus Neusser
      Pages 109-132
    6. Klaus Neusser
      Pages 133-165
    7. Klaus Neusser
      Pages 167-193
  3. Multivariate Time Series Analysis

    1. Front Matter
      Pages 195-195
    2. Klaus Neusser
      Pages 197-199
    3. Klaus Neusser
      Pages 201-206
    4. Klaus Neusser
      Pages 207-214
    5. Klaus Neusser
      Pages 225-239
    6. Klaus Neusser
      Pages 241-253
    7. Klaus Neusser
      Pages 295-324
    8. Klaus Neusser
      Pages 325-352
    9. Klaus Neusser
      Pages 353-367
  4. Back Matter
    Pages 369-409

About this book


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. 


time series analysis ARMA GARCH VAR SVAR co-integration Beveridge-Nelson Kalman Filter

Authors and affiliations

  • Klaus┬áNeusser
    • 1
  1. 1.BernSwitzerland

Bibliographic information

  • DOI
  • Copyright Information Springer International Publishing Switzerland 2016
  • Publisher Name Springer, Cham
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-319-32861-4
  • Online ISBN 978-3-319-32862-1
  • Series Print ISSN 2192-4333
  • Series Online ISSN 2192-4341
  • Buy this book on publisher's site
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