TY  - JOUR
TI  - <p class="text">Time Series Analysis</p>
T2  - HSE Economic Journal 
IS  - HSE Economic Journal 
KW  - time series modeling
KW  - types of time series
KW  - analysis
KW  - economic modeling
KW  - building models of economic systems
KW  - parameter estimation
AB  - The publication of the time series Analysis course ends. In this issue we consider the construction of economic models with non - stationary regressors, the concept of co - integration and its relationship with the VAR-representation of a multidimensional process, testing the presence of co-integration dependence, evaluation of the model parameters in the presence of co-integration. The models with clustered volatility, which are widely used in the analysis of financial time series, are considered separately.
AU  - Grigory Kantorovich
UR  - https://ej.hse.ru/en/2003-7-1/26547295.html
PY  - 2003
SP  - 79-103
VL  - 7