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portada New Developments in Time Series Econometrics de Physica(Physica)
Type
Physical Book
Publisher
Author
Language
English
Pages
260
Format
Paperback
ISBN13
9783642487446

New Developments in Time Series Econometrics de Physica(Physica)

Dufour Jean-Marie,Raj Baldev (Author) · Physica · Paperback

New Developments in Time Series Econometrics de Physica(Physica) - Dufour Jean-Marie,Raj Baldev

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Synopsis "New Developments in Time Series Econometrics de Physica(Physica)"

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.

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