With R and Financial Applications
An accessible guide to the multivariate time series toolsused in numerous real-world applications Multivariate Time Series Analysis: With R and FinancialApplications is the much anticipated sequel coming from one ofthe most influential and prominent experts on the topic of timeseries. Through a fundamental balance of theory and methodology,the book supplies readers with a comprehensible approach tofinancial econometric models and their applications to real-worldempirical research. Differing from the traditional approach to multivariate timeseries, the book focuses on reader comprehension by emphasizingstructural specification, which results in simplified parsimoniousVAR MA modeling. Multivariate Time Series Analysis: With R andFinancial Applications utilizes the freely available Rsoftware package to explore complex data and illustrate relatedcomputation and analyses. Featuring the techniques and methodologyof multivariate linear time series, stationary VAR models, VAR MAtime series and models, unitroot process, factor models, andfactor-augmented VAR models, the book includes: • Over 300 examples and exercises to reinforce thepresented content • User-friendly R subroutines and research presentedthroughout to demonstrate modern applications • Numerous datasets and subroutines to provide readerswith a deeper understanding of the material Multivariate Time Series Analysis is an ideal textbookfor graduate-level courses on time series and quantitative financeand upper-undergraduate level statistics courses in time series.The book is also an indispensable reference for researchers andpractitioners in business, finance, and econometrics.
- ISBN 13 : 1118617754
- ISBN 10 : 9781118617755
- Judul : Multivariate Time Series Analysis
- Sub Judul : With R and Financial Applications
- Pengarang : Ruey S. Tsay,
- Kategori : Mathematics
- Penerbit : John Wiley & Sons
- Bahasa : en
- Tahun : 2013
- Halaman : 520
- Google Book : https://play.google.com/store/books/details?id=A4QVAgAAQBAJ&source=gbs_api
An accessible guide to the multivariate time series tools used in numerous real-world applications Multivariate Time Series Analysis: With R and Financial Applications is the much anticipated sequel coming from one of the most influential ...