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© 2007

Introduction to Modern Time Series Analysis

Book

Table of contents

  1. Front Matter
    Pages I-IX
  2. Gebhard Kirchgässner, Jürgen Wolters
    Pages 1-25
  3. Gebhard Kirchgässner, Jürgen Wolters
    Pages 27-91
  4. Gebhard Kirchgässner, Jürgen Wolters
    Pages 93-123
  5. Gebhard Kirchgässner, Jürgen Wolters
    Pages 125-151
  6. Gebhard Kirchgässner, Jürgen Wolters
    Pages 153-198
  7. Gebhard Kirchgässner, Jürgen Wolters
    Pages 199-239
  8. Gebhard Kirchgässner, Jürgen Wolters
    Pages 241-265
  9. Back Matter
    Pages 267-274

About this book

Keywords

Cointegration Granger Causality Unit Roots Vector Autoregressive Models Volatility calculus econometrics modeling

Authors and affiliations

  1. 1.SIAW-HSGUniversity of St. GallenSt. GallenSwitzerland
  2. 2.Institute for Statistics and EconometricsFreie Universität BerlinBerlinGermany

Bibliographic information

Industry Sectors
Finance, Business & Banking

Reviews

From the reviews:

"This excellent textbook presents an introduction to the time series analysis. It provides a good source of information for graduate and master students in economics and statistics. It is a well-written and easy to read book, illustrated by 56 good examples. Also, many important references are listed at the end of each chapter." (Miroslav M. Ristic, Zentralblatt MATH, Vol. 1148, 2008)

"This book presents to beginners a readable and easily accessible introduction to modern developments in time series econometrics and financial time series with an emphasis on basic concepts and practical applications. The book is a textbook consisting of seven chapters … . the greatest merit of this textbook is that it enables readers to grasp the basic framework of time-series econometrics without relying on extensive reading." (Yuzo Hosoya, Mathematical Reviews, Issue 2009 k)