Multivariate Time Series Analysis / Wiley Series in Probability and Statistics (ePub)

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.