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Multivariate Time Series Analysis: With R and Financial Applications (Wiley Series in Probability and Statistics) Hardcover – 28 Jan 2014


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Product details

  • Hardcover: 520 pages
  • Publisher: Wiley-Blackwell (28 Jan. 2014)
  • Language: English
  • ISBN-10: 1118617908
  • ISBN-13: 978-1118617908
  • Product Dimensions: 16 x 3.3 x 23.6 cm
  • Average Customer Review: Be the first to review this item
  • Amazon Bestsellers Rank: 761,366 in Books (See Top 100 in Books)
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Product description

From the Back Cover

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 parsimoniousVARMA modeling. Multivariate Time Series Analysis: With R andFinancial Applications utilizes the freely available R softwarepackage to explore complex data and illustrate related computationand analyses. Featuring the techniques and methodology ofmultivariate linear time series, stationary VAR models, VARMA timeseries and models, unit-root process, factor models, andfactor-augmented VAR models, the book includes:

  • Over 300 examples and exercises to reinforce the presentedcontent
  • User-friendly R subroutines and research presented throughoutto demonstrate modern applications
  • Numerous datasets and subroutines to provide readers with adeeper 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.

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.


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Amazon.com: 4.5 out of 5 stars 16 reviews
Peter in China
5.0 out of 5 starsAnother winner from Dr. Tsay!
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5.0 out of 5 starsTheory is explained very nice
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4.0 out of 5 starsGood reference book for those who have had at least a class in the topic
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Ian K.
4.0 out of 5 starsAnother essential reference from Prof. Ruey Tsay
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