Hi Erin: Eric Zivot's S+Finmetrics book provides a good intro to the
various topics. It's probably more than 10 years old now but not much has
changed as far as the topics.
( maybe techniques have ). Then, if you want to dig deeper into any of the
topics he presents, he's got the references in each chapter. There are
other R based books that
are more recent but I can't say anything about them because I haven't
looked at them. Good luck.
P.S: For me, Hamilton's text is still the bible for non-dynamic time
series. Nerlove, Grether
and Carvalho is a great dynamic time series book that doesn't get much
I guess because it's contains mostly farming applications ?
> Dear R Finance People:
> At one point in time, I knew a little bit about finance/econometrics; in
> terms of copulas, heavy tailed distributions, etc.
> Now I find myself needing to update my knowledge of finance. What are the
> best resources that you might recommend, please?
> I was looking at some of the slides/html's from the R/Finance meeting and
> they look fascinating, particularly the Tessera.
> Thank you for your help.
> Erin Hodgess
> Associate Professor
> Department of Mathematical and Statistics
> University of Houston - Downtown
> mailto: [hidden email] >
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