Introduction to Modern Time Series Analysis

  • Gebhard Kirchgässner
  • Jürgen Wolters
  • Uwe Hassler

Part of the Springer Texts in Business and Economics book series (STBE)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
    Pages 1-25
  3. Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
    Pages 27-93
  4. Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
    Pages 95-125
  5. Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
    Pages 127-154
  6. Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
    Pages 155-203
  7. Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
    Pages 205-249
  8. Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
    Pages 251-279
  9. Gebhard Kirchgässner, Jürgen Wolters, Uwe Hassler
    Pages 281-310
  10. Back Matter
    Pages 311-319

About this book

Introduction

This book presents modern developments in time series econometrics that are applied to macroeconomic and financial time series, bridging the gap between methods and realistic applications. It presents the most important approaches to the analysis of time series, which may be stationary or nonstationary. Modelling and forecasting univariate time series is the starting point. For multiple stationary time series, Granger causality tests and vector autogressive models are presented. As the modelling of nonstationary uni- or multivariate time series is most important for real applied work, unit root and cointegration analysis as well as vector error correction models are a central topic. Tools for analysing nonstationary data are then transferred to the panel framework. Modelling the (multivariate) volatility of financial time series with autogressive conditional heteroskedastic models is also treated.

 

Keywords

Cointegration Granger Causality Time Series Analysis Unit Roots Vector Autogressive Models Volatility

Authors and affiliations

  • Gebhard Kirchgässner
    • 1
  • Jürgen Wolters
    • 2
  • Uwe Hassler
    • 3
  1. 1.SIAW-HSGUniversity of St. GallenSt. GallenSwitzerland
  2. 2.Institute for Statistics, and EconometricsFU BerlinBerlinGermany
  3. 3.Applied Econometrics and, International Economic PolicyGoethe University FrankfurtFrankfurtGermany

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-33436-8
  • Copyright Information Springer-Verlag Berlin Heidelberg 2013
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-642-33435-1
  • Online ISBN 978-3-642-33436-8
  • Series Print ISSN 2192-4333
  • Series Online ISSN 2192-4341
  • About this book