Multivariate time series analysis : (Record no. 24847)

MARC details
LIBRARY OF CONGRESS CONTROL NUMBER
LC control number 2013009453
ISBN
International Standard Book Number 9781118617908
DEWEY DECIMAL CLASSIFICATION NUMBER
Call number 519.5/5
MAIN ENTRY--PERSONAL AUTHOR
Authors Tsay, Ruey S.,
Dates 1951-
TITLE STATEMENT
Title Multivariate time series analysis :
Subtitle with R and financial applications /
Statement of responsibility, etc. Ruey S. Tsay
PUBLICATION, DISTRIBUTION, ETC. (IMPRINT)
Place of publication Hoboken, N.J. :
Publisher John Wiley & Sons,
Date 2014.
PHYSICAL DESCRIPTION
Extent xvii, 492 p. :
Other Details ill. ;
Size 25 cm.
SERIES STATEMENT
Series statement Wiley series in probability and statistics
BIBLIOGRAPHY, ETC. NOTE
Note Includes bibliographical references and index.
SUMMARY
Summary "Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this sequel book emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The book utilizes the freely available R software package to explore complex data and illustrate related computation and analyses in a user-friendly way. An author-maintained website features additional data sets in R, Matlab and Stata scripts so readers can create their own simulations and test their comprehension of the presented techniques"--
SUMMARY
Summary 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.
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading Time-series analysis
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading R (Computer program language)
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading Econometric models
SUBJECT ADDED ENTRY--TOPICAL TERM
Topical Heading MATHEMATICS / Probability & Statistics / General
ELECTRONIC LOCATION AND ACCESS
Uniform Resource Identifier <a href="https://uowd.box.com/s/qb1me0s3046evk008bsvl8f0v0cngh64">https://uowd.box.com/s/qb1me0s3046evk008bsvl8f0v0cngh64</a>
Public note Location Map
MAIN ENTRY--PERSONAL AUTHOR
-- 48048
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 5406
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 2458
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 46603
SUBJECT ADDED ENTRY--TOPICAL TERM
-- 5329
Holdings
Date last seen Total checkouts Total renewals Full call number Barcode Date last borrowed Cost, replacement price Price effective from Koha item type Lost status Source of classification or shelving scheme Damaged status Not for loan Withdrawn status Permanent location Current location Shelving location Date acquired Source of acquisition
13/01/2019 2 2 519.55 TS MU T0011149 27/11/2018 69.41 26/01/2017 REGULAR   Dewey Decimal Classification       University of Wollongong in Dubai University of Wollongong in Dubai Main Collection 19/10/2014 AMAUK