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Modeling Financial Time Series with S-PLUS®
The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
New York, NY :
Springer New York : Imprint: Springer,
2006.
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| Edición: | 2nd ed. 2006. |
| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- S and S-PLUS
- Time Series Specification, Manipulation, and Visualization in S-PLUS
- Time Series Concepts
- Unit Root Tests
- Modeling Extreme Values
- Time Series Regression Modeling
- Univariate GARCH Modeling
- Long Memory Time Series Modeling
- Rolling Analysis of Time Series
- Systems of Regression Equations
- Vector Autoregressive Models for Multivariate Time Series
- Cointegration
- Multivariate GARCH Modeling
- State Space Models
- Factor Models for Asset Returns
- Term Structure of Interest Rates
- Robust Change Detection
- Nonlinear Time Series Models
- Copulas
- Continuous-Time Models for Financial Time Series
- Generalized Method of Moments
- Seminonparametric Conditional Density Models
- Effcient Method of Moments.