This book provides a general framework for specifying, estimating and testing time series econometric models. Special emphasis is given to estimation by maximum likelihood, but other methods are also ...

univariate time series analysis, trends, seasonality, aberrant observations, conditional heteroskedasticity and ARCH models, non-linearity and multivariate time series, making this a complete ...

The intervention can be a one-time event. For example, you might want to study the effect of a short-term advertising campaign on the sales of a product. In this case, the input variable has the value ...

Research in time series concerned with the development of statistical methodologies for modelling, estimation, interpretation and forecasting of time series data. Complex time series data comes in ...

With volatility so closely tied to investment risk and returns, it's no wonder that a statistical method that captured ...