Ruey Tsay's "Analysis of Financial Time Series" is an excellent resource, along with the associated R package FinTS ( http://lib.stat.cmu.edu/R/CRAN/web/packages/FinTS/). You can also find the courses that Tsay teaches at U. Chicago on his homepage, such as this recent course: http://faculty.chicagobooth.edu/ruey.tsay/teaching/bs41202/sp2009/. He includes lecture notes and R scripts for each lecture. Eric Zivot's book "Modeling Financial Time Series with S-Plus" doesn't contain R code (explicitly), but is also very useful. ( http://faculty.washington.edu/ezivot/) Lastly, regarding R usage, check out the available vignettes for the time series packages in R, such as this one for xts: http://cran.r-project.org/web/packages/xts/vignettes/xts.pdf. The zoo package has several: http://cran.r-project.org/web/packages/zoo/.
Regarding videos, I'm not aware of any good introductory lectures. This isn't related to R and is more advanced, but the NBER had a series of lectures last year: "Whats New in Econometrics - Time Series" ( http://www.nber.org/minicourse_2008.html). On Sun, Aug 23, 2009 at 1:10 PM, Luna Moon <lunamoonm...@gmail.com> wrote: > Hi all, > > I am looking for study resources for (financial) time series? Hopefully I > could find video lectures then it will reduce the learning curve. > > Thanks a lot! > > [[alternative HTML version deleted]] > > _______________________________________________ > r-sig-fina...@stat.math.ethz.ch mailing list > https://stat.ethz.ch/mailman/listinfo/r-sig-finance > -- Subscriber-posting only. > -- If you want to post, subscribe first. > [[alternative HTML version deleted]] ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
