New Developments in Time Series Econometrics
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Beschreibung
This book contains eleven articles which provide empirical applications as well as theoretical extensions of some of the most exciting recent developments in time-series econometrics. The papers are grouped around three broad themes: (I) the modeling of multivariate times series; (II) the analysis of structural change; (III) seasonality and fractional integration. Since these themes are closely inter-related, several other topics covered are also worth stressing: vector autoregressive (VAR) models, cointegration and error-correction models, nonparametric methods in time series, and fractionally integrated models. Researchers and students interested in macroeconomic and empirical finance will find in this collection a remarkably representative sample of recent work in this area.
Autor*in
Jean-Marie Dufour
Themen in »New Developments in Time Series Econometrics«
Econometric Multivariate Time Series Multivariate Zeitreihen VAR-Models Zeitreihenanalyse cointegration econometrics integration modeling nonparametric methods time series time series analysis value at risk value-at-risk Ökonometrie