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[资源] 【英文】《现代时间序列分析的介绍 (第二版) 2013年》【已搜索，无重复】

【英文】《Introduction to Modern Time Series Analysis, 2nd edition》【已搜索，无重复】

出版时间：2013年
页码数量：330 页
文件大小：3.3 MB
书籍简介：

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.

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附件 1 : Introduction_to_Modern_Time_Series_Analysis_2nd_edition_2013.pdf

2013-12-28 14:42:07, 3.33 M

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