Statistics and Data Analysis for Financial Engineering with R examples /

The new edition of this influential textbook, geared towards graduate or advanced undergraduate students, teaches the statistics necessary for financial engineering. In doing so, it illustrates concepts using financial markets and economic data, R Labs with real-data exercises, and graphical and ana...

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Bibliographic Details
Call Number:Libro Electrónico
Main Authors: Ruppert, David (Author), Matteson, David S. (Author)
Corporate Author: SpringerLink (Online service)
Format: Electronic eBook
Language:Inglés
Published: New York, NY : Springer New York : Imprint: Springer, 2015.
Edition:2nd ed. 2015.
Series:Springer Texts in Statistics,
Subjects:
Statistics .
Social sciences-Mathematics.
Finance.
Statistics in Business, Management, Economics, Finance, Insurance.
Mathematics in Business, Economics and Finance.
Statistical Theory and Methods.
Financial Economics.
Online Access:Texto Completo
Table of Contents:
  • 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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