ABSTRACT
In Chapters 1 through 9, we have considered time series “one at a time.” In some situations, it is important to understand and model not only the autocorrelation structure down the time axis but also the relationships among a collection of time series along the same time axis. For example, in Figure 10.1a-c, we show monthly data from January 1, 1991 through April 1, 2010, on interest rates in the United States for 6-month certificates of deposit (CDs), Moody’s seasoned Aaa corporate bonds, and 30-year conventional mortgages, respectively. These realizations are found in tswge data sets fig10.1cd, fig10.1bond, and fig10.1mort, respectively. The understanding of such data may be improved by considering not only the autocorrelation structure of the univariate interest rate series but also the interrelationships among the three as they respond to market and economic conditions across time.
