Multivariate Time Series Analysis and Its Applications
Ruey S. Tsay · Wiley series in probability and statistics · 2005
This chapter contains sections titled: Weak Stationarity and Cross-Correlation Matrices Vector Autoregressive Models Vector Moving-Average Models Vector ARMA Models Unit-Root Nonstationarity and Cointegration Cointegrated VAR Models Threshold Cointegration and Arbitrage Appendix A: Review of Vectors and Matrices Appendix B: Multivariate Normal Distributions Appendix C: Some SCA Commands Exercises References