Statistics and Data Analysis for Financial Engineering

Financial engineers have access to enormous quantities of data but need powerful methods for extracting quantitative information, particularly about volatility and risks. Key features of this textbook are: illustration of concepts with financial markets and economic data, R Labs with real-data exerc...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Ruppert, David (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer New York : Imprint: Springer, 2011.
Edición:1st ed. 2011.
Colección:Springer Texts in Statistics,
Temas:
Statistics .
Statistics in Business, Management, Economics, Finance, Insurance.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • Introduction
  • Returns
  • Fixed income securities
  • Exploratory data analysis
  • Modeling univariate distributions
  • Resampling
  • Multivariate statistical models
  • Copulas
  • Time series models: basics
  • Time series models: further topics
  • Portfolio theory
  • Regression: basics
  • Regression: troubleshooting
  • Regression: advanced topics
  • Cointegration
  • The capital asset pricing model
  • Factor models and principal components
  • GARCH models
  • Risk management
  • Bayesian data analysis and MCMC
  • Nonparametric regression and splines.

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