The Resource Multivariate time series analysis : with R and financial applications, Ruey S. Tsay, Booth School of Business, University of Chicago, Chicago, IL

Multivariate time series analysis : with R and financial applications, Ruey S. Tsay, Booth School of Business, University of Chicago, Chicago, IL

Label
Multivariate time series analysis : with R and financial applications
Title
Multivariate time series analysis
Title remainder
with R and financial applications
Statement of responsibility
Ruey S. Tsay, Booth School of Business, University of Chicago, Chicago, IL
Creator
Subject
Language
eng
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"--
Member of
Assigning source
Provided by publisher
Cataloging source
DLC
Dewey number
519.5/5
Index
index present
LC call number
QA280
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
Series statement
Wiley series in probability and statistics
Label
Multivariate time series analysis : with R and financial applications, Ruey S. Tsay, Booth School of Business, University of Chicago, Chicago, IL
Publication
Bibliography note
Includes bibliographical references and index
http://library.link/vocab/branchCode
  • net
Carrier category
online resource
Carrier MARC source
rdacarrier
Content category
text
Content type MARC source
rdacontent
Contents
  • WILEY SERIES IN PROBABILITY AND STATISTICS; Title page; Copyright page; Dedication; Preface; Acknowledgements; CHAPTER 1: Multivariate Linear Time Series; 1.1 INTRODUCTION; 1.2 SOME BASIC CONCEPTS; 1.3 CROSS-COVARIANCE AND CORRELATION MATRICES; 1.4 SAMPLE CCM; 1.5 TESTING ZERO CROSS-CORRELATIONS; 1.6 FORECASTING; 1.7 MODEL REPRESENTATIONS; 1.8 OUTLINE OF THE BOOK; 1.9 SOFTWARE; EXERCISES; REFERENCES; CHAPTER 2: Stationary Vector Autoregressive Time Series; 2.1 INTRODUCTION; 2.2 VAR(1) MODELS; 2.3 VAR(2) MODELS; 2.4 VAR(p) MODELS; 2.5 ESTIMATION; 2.6 ORDER SELECTION; 2.7 MODEL CHECKING
  • 2.8 LINEAR CONSTRAINTS2.9 FORECASTING; 2.10 IMPULSE RESPONSE FUNCTIONS; 2.11 FORECAST ERROR VARIANCE DECOMPOSITION; 2.12 PROOFS; EXERCISES; REFERENCES; CHAPTER 3: Vector Autoregressive Moving-Average Time Series; 3.1 VECTOR MA MODELS; 3.2 SPECIFYING VMA ORDER; 3.3 ESTIMATION OF VMA MODELS; 3.4 FORECASTING OF VMA MODELS; 3.5 VARMA MODELS; 3.6 IMPLICATIONS OF VARMA MODELS; 3.7 LINEAR TRANSFORMS OF VARMA PROCESSES; 3.8 TEMPORAL AGGREGATION OF VARMA PROCESSES; 3.9 LIKELIHOOD FUNCTION OF A VARMA MODEL; 3.10 INNOVATIONS APPROACH TO EXACT LIKELIHOOD FUNCTION
  • 3.11 ASYMPTOTIC DISTRIBUTION OF MAXIMUM LIKELIHOOD ESTIMATES3.12 MODEL CHECKING OF FITTED VARMA MODELS; 3.13 FORECASTING OF VARMA MODELS; 3.14 TENTATIVE ORDER IDENTIFICATION; 3.15 EMPIRICAL ANALYSIS OF VARMA MODELS; 3.16 APPENDIX; EXERCISES; REFERENCES; CHAPTER 4: Structural Specification of VARMA Models; 4.1 THE KRONECKER INDEX APPROACH; 4.2 THE SCALAR COMPONENT APPROACH; 4.3 STATISTICS FOR ORDER SPECIFICATION; 4.4 FINDING KRONECKER INDICES; 4.5 FINDING SCALAR COMPONENT MODELS; 4.6 ESTIMATION; 4.7 AN EXAMPLE; 4.8 APPENDIX: CANONICAL CORRELATION ANALYSIS; EXERCISES; REFERENCES
  • 6.4 MISSING VALUES6.5 FACTOR MODELS; 6.6 CLASSIFICATION AND CLUSTERING ANALYSIS; EXERCISES; REFERENCES; CHAPTER 7: Multivariate Volatility Models; 7.1 TESTING CONDITIONAL HETEROSCEDASTICITY; 7.2 ESTIMATION OF MULTIVARIATE VOLATILITY MODELS; 7.3 DIAGNOSTIC CHECKS OF VOLATILITY MODELS; 7.4 EXPONENTIALLY WEIGHTED MOVING AVERAGE; 7.5 BEKK MODELS; 7.6 CHOLESKY DECOMPOSITION AND VOLATILITY MODELING; 7.7 DYNAMIC CONDITIONAL CORRELATION MODELS; 7.8 ORTHOGONAL TRANSFORMATION; 7.9 COPULA-BASED MODELS; 7.10 PRINCIPAL VOLATILITY COMPONENTS; EXERCISES; REFERENCES
  • CHAPTER 5: Unit-Root Nonstationary Processes5.1 UNIVARIATE UNIT-ROOT PROCESSES; 5.2 MULTIVARIATE UNIT-ROOT PROCESSES; 5.3 SPURIOUS REGRESSIONS; 5.4 MULTIVARIATE EXPONENTIAL SMOOTHING; 5.5 COINTEGRATION; 5.6 AN ERROR-CORRECTION FORM; 5.7 IMPLICATIONS OF COINTEGRATING VECTORS; 5.8 PARAMETERIZATION OF COINTEGRATING VECTORS; 5.9 COINTEGRATION TESTS; 5.10 ESTIMATION OF ERROR-CORRECTION MODELS; 5.11 APPLICATIONS; 5.12 DISCUSSION; 5.13 APPENDIX; EXERCISES; REFERENCES; CHAPTER 6: Factor Models and Selected Topics; 6.1 SEASONAL MODELS; 6.2 PRINCIPAL COMPONENT ANALYSIS; 6.3 USE OF EXOGENOUS VARIABLES
Control code
ocn841559057
Extent
1 online resource
Form of item
online
Isbn
9781118617762
Lccn
2013017803
Media category
computer
Media MARC source
rdamedia
http://library.link/vocab/ext/overdrive/overdriveId
556701
Publisher number
EB00063976
http://library.link/vocab/recordID
.b33550323
Specific material designation
remote
System control number
  • (OCoLC)841559057
  • pebcs1118617754

Library Locations

    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
      75 Pigdons Road, Waurn Ponds, Victoria, 3216, AU
      -38.195656 144.304955
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