One book is Ruey Tsay (2005) Analysis of Financial Time Series,
2nd ed. (Wiley). The R package "FinTS" provides script files to that
show how to work some of the example in the book.
Try also "RSiteSearch" (www.r-project.org -> search PLUS the
"RSiteSearch" function in R) for more options, as Brian Peterson
suggested.
Good Luck.
Spencer Graves
Brian G. Peterson wrote:
Michael wrote:
Hi all,
Please recommend good books for the following three categories. (I am
aim at finance, macroeconomics, trading and business applications).
(1) statistical (financial) data analysis;
(2) time series;
(3) econometrics.
More specifically, I am looking for the following two types of books:
(1) Books that provide big pictures and intuitions and books that
connect dots...
For example, there are lots of statistics books(e.g. regression,
etc.), time series, and econometrics books, many of them are quite
mathematical. I am myself from a quantitative background so I don't
have problem understanding the math, however I am looking for
resources that provide big pictures and intuitions and books that
connect dots together, books that compare the differences and
similarities and books that talks about why and how (e.g. why ARMA,
why "log", why GARCH, etc. ) and books talk about when things get
wrong and why and how to fix...
(2) Books with meaningful finance, macroeconomics, trading and
business applications.
This topic, in almost exactly the same request, comes up frequently on
this list. I suggest that you search the list archives.
Regards,
- Brian
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