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R: Data Analysis and Visualization by Ágnes Vidovics-Dancs, Kata Váradi, Tamás Vadász, Ágnes Tuza, Balázs Árpád Szucs, Julia Molnár, Péter Medvegyev, Balázs Márkus, István Margitai, Péter Juhász, Dániel Havran, Gergely Gabler, Barbara Dömötör, Gergely Daróczi, Ádám Banai, Milán Badics, Ferenc Illés, Edina Berlinger, Bater Makhabel, Hrishi V. Mittal, Jaynal Abedin, Brett Lantz, Tony Fischetti

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Chapter 1. Time Series Analysis

In this chapter, we consider some advanced time series methods and their implementation using R. Time series analysis, as a discipline, is broad enough to fill hundreds of books (the most important references, both in theory and R programming, will be listed at the end of this chapter's reading list); hence, the scope of this chapter is necessarily highly selective, and we focus on topics that are inevitably important in empirical finance and quantitative trading. It should be emphasized at the beginning, however, that this chapter only sets the stage for further studies in time series analysis.

Our previous book Introduction to R for Quantitative Finance, Packt Publishing, discusses some fundamental topics of time ...

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