Multivariate Time Series Analysis : With R and Financial Applications
Language: English
Published by Wiley & Sons, Wiley, 2013
- Hardcover
- New
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
AbeBooks seller since August 14, 2006
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Add to basketItem description from seller
Neuware - An accessible guide to the multivariate time series tools used in numerous real-world applicationsMultivariate Time Series Analysis: With R and Financial Applications is the much anticipated sequel coming from one of the most influential and prominent experts on the topic of time series. Through a fundamental balance of theory and methodology, the book supplies readers with a comprehensible approach to financial econometric models and their applications to real-world empirical research.Differing from the traditional approach to multivariate time series, the book focuses on reader comprehension by emphasizing structural specification, which results in simplified parsimonious VAR MA modeling. Multivariate Time Series Analysis: With R and Financial Applications utilizes the freely available R software package to explore complex data and illustrate related computation and analyses. Featuring the techniques and methodology of multivariate linear time series, stationary VAR models, VAR MA time series and models, unitroot process, factor models, and factor-augmented VAR models, the book includes:\* Over 300 examples and exercises to reinforce the presented content\* User-friendly R subroutines and research presented throughout to demonstrate modern applications\* Numerous datasets and subroutines to provide readers with a deeper understanding of the materialMultivariate Time Series Analysis is an ideal textbook for graduate-level courses on time series and quantitative finance and upper-undergraduate level statistics courses in time series. The book is also an indispensable reference for researchers and practitioners in business, finance, and econometrics. …
Seller Inventory # 9781118617908
- Title
- Multivariate Time Series Analysis : With R and Financial Applications
- Author
- Ruey S. Tsay
- Publisher
- Wiley & Sons, Wiley
- Publication year
- 2013
- Condition
- Neu
- Binding
- Buch
- Language
- English
- ISBN 10
- 1118617908
- ISBN 13
- 9781118617908
- Item weight
- 830 grams
- Dimensions
- 245x156x29 mm
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 and prominent experts on the topic of time series. Through a fundamental balance of theory and methodology, the book supplies readers with a comprehensible approach to financial econometric models and their applications to real-world empirical research.
Differing from the traditional approach to multivariate time series, the book focuses on reader comprehension by emphasizing structural specification, which results in simplified parsimonious VAR MA modeling. Multivariate Time Series Analysis: With R and Financial Applications utilizes the freely available R software package to explore complex data and illustrate related computation and analyses. Featuring the techniques and methodology of multivariate linear time series, stationary VAR models, VAR MA time series and models, unitroot process, factor models, and factor-augmented VAR models, the book includes:
• Over 300 examples and exercises to reinforce the presented content
• User-friendly R subroutines and research presented throughout to demonstrate modern applications
• Numerous datasets and subroutines to provide readers with a deeper understanding of the material
Multivariate Time Series Analysis is an ideal textbook for graduate-level courses on time series and quantitative finance and upper-undergraduate level statistics courses in time series. The book is also an indispensable reference for researchers and practitioners in business, finance, and econometrics.
"Synopsis" may belong to another edition of this title.
About the Author
RUEY S. TSAY, PhD, is H.G.B. Alexander Professor of Econometrics and Statistics at The University of Chicago Booth School of Business. He has written over 125 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control. A Fellow of the American Statistical Association, the Institute of Mathematical Statistics, and Academia Sinica, Dr. Tsay is author of Analysis of Financial Time Series, Third Edition and An Introduction to Analysis of Financial Data with R, and coauthor of A Course in Time Series Analysis, all published by Wiley.
"About the title" may belong to another edition of this title.
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