Financial Time Series in R

[White Noise]

Hello guys,

I am looking for a good book devoted to financial time series in R with a lot of examples so my question is what is the best one you have read ? I have a mathematical background and I also had a course devoted to time series during my studies but it was mainly devoted to some theoretical aspects. Now I look for a book with a strong emphasis on a practical part and which uses real data. I am especially interested in heteroscedasticity models like ARCH and GARCH but also in ARIMA models.

Could you guys recommend me something ? I was thinking about that https://www.amazon.com/Time-Analysis-Applications-Springer-Statistics/dp/0387759581 but I am not sure if it is the best choice.

 

[Mr.Game]

I generally like these books: 5 Top Books on Time Series Forecasting With R. Im also a big fan of Rob J hyndman's book @ Forecasting: Principles and Practice. But I think these might be too basic for you.

Check out
Advances in Time Series Analysis and Forecasting by Rojas. It doesn't really have any R code but its pretty advanced.

Look into state space models and Neural Network as those would be next level stuff after Garch and ARIMA. ARIMA i believe is a basic state space model.

 

[Mikey V]

I used this book for a research project: Time Series Analysis and Its Applications: With R Examples (Springer Texts in Statistics) https://www.amazon.com/dp/3319524518/ref=cm_sw_r_cp_api_iWOtBbFAH1QGR. If I recall it had some decent finance examples.

I’d also recommend the R package rugarch. I have some other resources in bookmarks somewhere as well. Feel free to PM me

 

[White Noise]

Ok guys, thank you for your answers ! So for now I am considering these two books and I really can't decide:
1. https://www.amazon.com/dp/0387759581?tag=inspiredalgor-20
2. https://www.amazon.com/Time-Analysi...coding=UTF8&psc=1&refRID=5FA112J9T09MCDBPYPY8

Which of them would be a better choice in your opinion ?

 

[Ok_Movie]

Worth noting that the second option is available as a free PDF from the authors: https://www.stat.pitt.edu/stoffer/tsa4/tsa4.pdf.

 

[White Noise]

Thank you, so my doubts are over !

 

[statquant]

I've the second edition of Shumway's book. In my opinion, it's a nice blend of math and R code. R code and graphic illustrations are intuitive. Math formulas are rigorous. Together, they makes the exposition very clear.

btw: the e-version of the book is so nice, hyperlinks help to refer to other pages quickly.