Book review of: U. Hassler, Stochastische Integration und Zeitreihenmodellierung

DOI10.1007/s00362-008-0143-2zbMath1309.00020OpenAlexW1592413206MaRDI QIDQ840990

Christoph Hanck

Publication date: 14 September 2009

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-008-0143-2

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Diffusion processes (60J60) Stochastic integrals (60H05) External book reviews (00A17)

Cites Work

• Statistical analysis of cointegration vectors
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Towards a unified asymptotic theory for autoregression
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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