复旦大学时间序列分析讲义 张立坚 |
复旦大学时间序列分析讲义 张立坚
1. Models,Data and Process The nature of the econometric approach The Process of an econometric analysis 2. Applications of Financial Econometrics Dynamic effects of various shocks Empirical finance Refining data 3. Key Features of Financial Time Series The regression model Time series models Dynamic model 4. Contents of Time Series Modeling Stationary stochastic time series model Nonstationary stochastic process Multiple time series modeling Time series models of heteroskedasticity State space model 5. Text and Software Text Software 6. Some Basic Tools Difference equations and their solutions Solution methodology Stability conditions Impulse response function The basics of time series analysis software 7. Summary and Conclusions Appendix: TSP Program to Accompany Chapter 1 Box: Empirical Research on Exchange Rate Bibliography 下载地址 链接:http://pan.baidu.com/s/1qYD2LWg
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