|
|
|
|
| LEADER |
00000cam a2200000Mu 4500 |
| 001 |
EBOOKCENTRAL_on1347026560 |
| 003 |
OCoLC |
| 005 |
20240329122006.0 |
| 006 |
m o d |
| 007 |
cr cnu|||||||| |
| 008 |
230209s2012 xx o ||| 0 eng d |
| 040 |
|
|
|a EBLCP
|b eng
|c EBLCP
|d OCLCO
|d OCLCQ
|d EBLCP
|d OCLCQ
|d OCLCL
|d OCLCQ
|
| 020 |
|
|
|a 9781119013457
|
| 020 |
|
|
|a 1119013453
|
| 035 |
|
|
|a (OCoLC)1347026560
|
| 082 |
0 |
4 |
|a 332.0285/133
|q OCoLC
|2 23/eng/20231120
|
| 049 |
|
|
|a UAMI
|
| 100 |
1 |
|
|a Tsay, Ruey S.
|
| 245 |
1 |
3 |
|a An Introduction to Analysis of Financial Data with R
|h [electronic resource].
|
| 260 |
|
|
|a Newark :
|b John Wiley & Sons, Incorporated,
|c 2012.
|
| 300 |
|
|
|a 1 online resource (416 p.).
|
| 490 |
1 |
|
|a New York Academy of Sciences Ser. ;
|v v.861
|
| 500 |
|
|
|a Description based upon print version of record.
|
| 505 |
0 |
|
|a Cover -- Title Page -- Copyright -- Contents -- Preface -- 1: Financial Data and Their Properties -- 1.1 Asset Returns -- 1.2 Bond Yields and Prices -- 1.3 Implied Volatility -- 1.4 R Packages and Demonstrations -- 1.4.1 Installation of R Packages -- 1.4.2 The Quantmod Package -- 1.4.3 Some Basic R Commands -- 1.5 Examples of Financial Data -- 1.6 Distributional Properties of Returns -- 1.6.1 Review of Statistical Distributions and Their Moments -- 1.7 Visualization of Financial Data -- 1.8 Some Statistical Distributions -- 1.8.1 Normal Distribution -- 1.8.2 Lognormal Distribution
|
| 505 |
8 |
|
|a 1.8.3 Stable Distribution -- 1.8.4 Scale Mixture of Normal Distributions -- 1.8.5 Multivariate Returns -- Exercises -- References -- 2: Linear Models for Financial Time Series -- 2.1 Stationarity -- 2.2 Correlation and Autocorrelation Function -- 2.3 White Noise and Linear Time Series -- 2.4 Simple Autoregressive Models -- 2.4.1 Properties of AR Models -- 2.4.2 Identifying Ar Models in Practice -- 2.4.3 Goodness of Fit -- 2.4.4 Forecasting -- 2.5 Simple Moving Average Models -- 2.5.1 Properties of MA Models -- 2.5.2 Identifying MA Order -- 2.5.3 Estimation -- 2.5.4 Forecasting Using MA Models
|
| 505 |
8 |
|
|a 2.6 Simple Arma Models -- 2.6.1 Properties of ARMA(1,1) Models -- 2.6.2 General ARMA Models -- 2.6.3 Identifying ARMA Models -- 2.6.4 Forecasting Using an ARMA Model -- 2.6.5 Three Model Representations for an ARMA Model -- 2.7 Unit-root Nonstationarity -- 2.7.1 Random Walk -- 2.7.2 Random Walk with Drift -- 2.7.3 Trend-stationary Time Series -- 2.7.4 General Unit-root Nonstationary Models -- 2.7.5 Unit-root Test -- 2.8 Exponential Smoothing -- 2.9 Seasonal Models -- 2.9.1 Seasonal Differencing -- 2.9.2 Multiplicative Seasonal Models -- 2.9.3 Seasonal Dummy Variable
|
| 505 |
8 |
|
|a 2.10 Regression Models with Time Series Errors -- 2.11 Long-memory Models -- 2.12 Model Comparison and Averaging -- 2.12.1 In-sample Comparison -- 2.12.2 Out-of-sample Comparison -- 2.12.3 Model Averaging -- Exercises -- References -- 3: Case Studies of Linear Time Series -- 3.1 Weekly Regular Gasoline Price -- 3.1.1 Pure Time Series Model -- 3.1.2 Use of Crude Oil Prices -- 3.1.3 Use of Lagged Crude Oil Prices -- 3.1.4 Out-of-sample Predictions -- 3.2 Global Temperature Anomalies -- 3.2.1 Unit-root Stationarity -- 3.2.2 Trend-nonstationarity -- 3.2.3 Model Comparison
|
| 505 |
8 |
|
|a 3.2.4 Long-term Prediction -- 3.2.5 Discussion -- 3.3 Us Monthly Unemployment Rates -- 3.3.1 Univariate Time Series Models -- 3.3.2 An Alternative Model -- 3.3.3 Model Comparison -- 3.3.4 Use of Initial Jobless Claims -- 3.3.5 Comparison -- Exercises -- References -- 4: Asset Volatility and Volatility Models -- 4.1 Characteristics of Volatility -- 4.2 Structure of a Model -- 4.3 Model Building -- 4.4 Testing for ARCH Effect -- 4.5 The Arch Model -- 4.5.1 Properties of ARCH Models -- 4.5.2 Advantages and Weaknesses of ARCH Models -- 4.5.3 Building an ARCH Model -- 4.5.4 Some Examples
|
| 500 |
|
|
|a 4.6 the Garch Model
|
| 590 |
|
|
|a ProQuest Ebook Central
|b Ebook Central Academic Complete
|
| 655 |
|
0 |
|a Electronic books.
|
| 758 |
|
|
|i has work:
|a An introduction to analysis of financial data with R (Text)
|1 https://id.oclc.org/worldcat/entity/E39PCGCwqKtJ4D8tvC4G8FmCBd
|4 https://id.oclc.org/worldcat/ontology/hasWork
|
| 776 |
0 |
8 |
|i Print version:
|a Tsay, Ruey S.
|t An Introduction to Analysis of Financial Data with R
|d Newark : John Wiley & Sons, Incorporated,c2012
|z 9780470890813
|
| 830 |
|
0 |
|a New York Academy of Sciences Ser.
|
| 856 |
4 |
0 |
|u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=7104340
|z Texto completo
|
| 938 |
|
|
|a ProQuest Ebook Central
|b EBLB
|n EBL7104340
|
| 994 |
|
|
|a 92
|b IZTAP
|
