Analysis of Time Series: An Introduction with R

The book "Financial Time Series Analysis" has been updated to include new chapters on univariate volatility models, linear time series models, multivariate volatility models, and regime switching models, with R code integrated into the text.

\n Format: Paperback / softback
\n Length: 398 pages
\n Publication date: 07 May 2019
\n Publisher: Taylor & Francis Inc
\n

A comprehensive and updated edition of this bestselling textbook, now in its third edition, provides a thorough and comprehensive introduction to the theory and application of financial time series analysis. Written by a team of renowned experts in the field, the book covers a wide range of topics, including univariate volatility models, linear time series models, multivariate volatility models, and regime switching models.

The third edition of this bestselling textbook has been extensively revised and updated to provide a comprehensive and comprehensive introduction to the theory and application of financial time series analysis. Written by a team of renowned experts in the field, the book covers a wide range of topics, including univariate volatility models, linear time series models, multivariate volatility models, and regime switching models.

In addition to its comprehensive coverage of theoretical concepts and methodologies, the book includes numerous new worked examples and R code integrated into the text, making it an invaluable resource for both students and practitioners in the field.

Univariate volatility models are a fundamental tool in financial analysis, as they allow for the modeling and forecasting of asset prices and their volatility. The third edition of this textbook provides a detailed and comprehensive introduction to these models, covering topics such as the GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model, the ARCH (Autoregressive Conditional Heteroscedasticity) model, and the VAR (Vector Autoregressive) model.

Linear time series models are used to analyze and predict the behavior of financial time series data, such as stock prices, exchange rates, and interest rates. The third edition of this textbook covers a wide range of linear time series models, including the ARMA (AutoRegressive Moving Average) model, the ARCH (Autoregressive Conditional Heteroscedasticity) model, and the EMA (Exponential Moving Average) model.

Multivariate volatility models are used to analyze and predict the volatility of multiple assets simultaneously. The third edition of this textbook provides a detailed and comprehensive introduction to these models, covering topics such as the GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model with multiple variables, the VAR (Vector Autoregressive) model with multiple variables, and the copula-based models.

Regime switching models are used to analyze and predict the transitions between different states or regimes in financial time series data. The third edition of this textbook provides a detailed and comprehensive introduction to these models, covering topics such as the Markov switching model, the hidden Markov model, and the switching regressions model.

The third edition of this bestselling textbook also includes a new section on financial data analysis, which covers topics such as data cleaning, data transformation, and data visualization. This section provides practical guidance on how to prepare and analyze financial data, ensuring that the results are accurate, reliable, and meaningful.

In conclusion, the third edition of this bestselling textbook is an essential resource for anyone interested in financial time series analysis. With its comprehensive coverage of theoretical concepts and methodologies, new worked examples, and R code integrated into the text, the book provides a thorough and comprehensive introduction to the field. Whether you are a student, practitioner, or researcher, this book will help you gain a deeper understanding of financial time series analysis and its applications.

\n Weight: 642g\n
Dimension: 234 x 159 x 24 (mm)\n
ISBN-13: 9781498795630\n
Edition number: 7 New edition\n