TY  - BOOK
AU  - Tsay,Ruey S.
TI  - Multivariate time series analysis: with R and financial applications 
T2  - Wiley series in probability and statistics
SN  - 9781118617908 (hardback)
AV  - QA280 .T73 2014
U1  - 519.55 TSA 23
PY  - 2014///]
CY  - Hoboken, New Jersey
PB  - John Wiley & Sons
KW  - Time-series analysis
KW  - R (Computer program language)
KW  - Econometric models
KW  - MATHEMATICS / Probability & Statistics / General
KW  - bisacsh
N1  - Includes bibliographical references and index; 
Multivariate linear time series
Stationary vector autoregressive time series
Vector autoregressive moving-average time series
Structural specification of VARMA models
Unit-root nonstationary processes
Factor models and selected topics
Multivariate volatility models
N2  - "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"--
ER  -