In this book Christian Gourieroux and Alain Monfort provide an up-to-date and comprehensive analysis of modern time series econometrics. They have succeeded in

In this book we are concerned with Bayesian learning and forecast ing in dynamic environments. We describe the structure and theory of classes of dynamic models

Introducing time series methods and their application in social science research, this practical guide to time series models is the first in the field written f

The volatility of financial returns changes over time and, for the last thirty years, Generalized Autoregressive Conditional Heteroscedasticity (GARCH) models h

Forecasting is required in many situations. Stocking an inventory may require forecasts of demand months in advance. Telecommunication routing requires traffic