000			03559cam a2200265 a 4500
999			_c24847 _d24847
010			_a 2013009453
020			_a9781118617908
082	0	0	_a519.5/5
100	1		_aTsay, Ruey S., _d1951- _948048
245	1	0	_aMultivariate time series analysis : _bwith R and financial applications / _cRuey S. Tsay
260			_aHoboken, N.J. : _bJohn Wiley & Sons, _c2014.
300			_axvii, 492 p. : _bill. ; _c25 cm.
490	0		_aWiley series in probability and statistics
504			_aIncludes bibliographical references and index.
520			_a"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"--
520			_aAn 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.
650		0	_aTime-series analysis _95406
650		0	_aR (Computer program language) _92458
650		0	_aEconometric models _946603
650		7	_aMATHEMATICS / Probability & Statistics / General _95329
856			_uhttps://uowd.box.com/s/qb1me0s3046evk008bsvl8f0v0cngh64 _zLocation Map