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Multivariate Time Series Analysis - With R and Financial Applications (Hardcover)
Loot Price: R3,353
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Multivariate Time Series Analysis - With R and Financial Applications (Hardcover)
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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.
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