[R-SIG-Finance] books?

[Spencer Graves]

Hi, Eric: 

      Is there an R package to support your book? 

      You may know that I'm working on a "FinTS" package to support 
Tsay's book.  The version currently available from CRAN includes script 
files to reproduce most of the examples, figures and tables in chapters 
1 and 2 plus portions of chapters 3 and 11. 

      Diethelm Wuertz recommended Lutkepohl to me, but I don't know to 
what extent R functions have been written to facilitate using the 
techniques in that book. 

      Best Wishes,
      Spencer

Eric Zivot wrote:
> For multivariate time series analysis i recommend the following
>
> 1. (New) Introduction to multiple time series by Helmut Lutkepohl (springer verlag). This book is really the multiple time serie bible
>
> 2. Analysis of financial time series, second edition, by Ruey Tsay (wiley)
>
> 3. Modeling financial time series with Splus, 2nd edition by Eric Zivot and Jiahui wang (springer)
>
>
> ****************************************************************
> *  Eric Zivot                  			               *
> *  Associate Professor         phone:  206-543-6715            *
> *  Department of Economics     fax:    206-685-7477            *
> *  Box 353330                  email:  ezivot at u.washington.edu *
> *  University of Washington                                    *
> *  Seattle, WA 98195-3330                                      *
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>
> On Sun, 20 Jan 2008, Joe W. Byers wrote:
>
>   
>> Max Nevill wrote:
>>     
>>> Hi Everyone!
>>>
>>> I do some forecasts for my job and recently have started to realize that
>>> I may be able to make better forecasts if I look at multivariate
>>> analysis rather than fit several univariate models. Unfortunately in
>>> undergrad I only took one course in univarate analysis.
>>>
>>> I was wondering what some good books are on the subject of multivariate
>>> time series analysis? Especially any that use R over other languages.
>>>
>>> Thanks,
>>>
>>> -Max
>>>
>>> _________________________________________
>>>
>>>
>>> 	[[alternative HTML version deleted]]
>>>
>>>       
>> My base references for time series are
>> Statistical Analysis of Financial Data in S-Plus by Carmona
>> Time Series Analysis by Hamilton
>> and
>> Applied Econometric Time Series by Enders
>>
>> I also use several econometric texts
>> Judge, etal's series
>> 	Theory and Practice of Econometrics,
>> 	Introduction to the ditto, and
>> 	Learning and Practicing Econometrics
>> Greene's Econometric Analysis.
>>
>> A side note, my wife and I are building a bibliography of our personal
>> libraries of books and papers on www.financialseal.com under analytics
>> and research.   It is in the infancy stages, but we are trying to update
>> it regularly.  These and other financial and statistical references will
>> be there.  The connection is slow, so patience is required.
>>
>> Joe
>>
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>>     
>
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