Mastering R for Quantitative Finance

Summary

In this chapter, we reviewed some important concepts of time series analysis, such as cointegration, vector-autoregression, and GARCH-type conditional volatility models. Meanwhile, we have provided a useful introduction to some tips and tricks to start modeling with R for quantitative and empirical finance. We hope that you find these exercises useful, but again, it should be noted that this chapter is far from being complete both from time series and econometric theory, and from R programming's point of view. The R programming language is very well documented on the Internet, and the R user's community consists of thousands of advanced and professional users. We encourage you to go beyond books, be a self-learner, and do not stop if you ...