Time series : applications to finance with R and S-Plus /

"This book is designed to help readers grasp the conceptual underpinnings of time series modeling in order to gain a deeper understanding of the ever-changing dynamics of the financial world. It covers theory and application equally for readers from both financial and mathematical backgrounds....

Full description

Bibliographic Details
Call Number:Libro Electrónico
Main Author: Chan, Ngai Hang
Format: Electronic eBook
Language:Inglés
Published: Hoboken, N.J. : Wiley, ©2010.
Edition:2nd ed.
Subjects:
Time-series analysis.
Econometrics.
Risk management.
Risk Management
Série chronologique.
Économétrie.
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Finance.
Econometrics
Risk management
Time-series analysis
Online Access:Texto completo
Table of Contents:
  • Front Matter
  • Introduction
  • Probability Models
  • Autoregressive Moving Average Models
  • Estimation in the Time Domain
  • Examples in Splus and R
  • Forecasting
  • Spectral Analysis
  • Nonstationarity
  • Heteroskedasticity
  • Multivariate Time Series
  • State Space Models
  • Multivariate GARCH
  • Cointegrations and Common Trends
  • Markov Chain Monte Carlo Methods
  • Statistical Arbitrage
  • Answers to Selected Exercises
  • References
  • Subject Index
  • Author Index
  • Wiley Series in Probability and Statistics.

Similar Items