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2010 (2)

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Book
Time series: applications to finance with R and S-plus
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ISBN: 9780470583623 Year: 2010 Publisher: Hoboken, N.J. Wiley

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Abstract

"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"-- "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. The book offers succinct coverage of standard topics in statistical time series - such as forecasting and spectral analysis - in a manner that is both technical and conceptual. Recent developments in nonstandard time series techniques such as Bayesian methods and arbitrage statistics have been added to this edition, and they are illustrated in detail with real financial examples. Subroutines in R and S-Plus are lavishly displayed throughout in this new edition. An author website provides instructor notations and additional software subroutines, as well as complete solutions to the exercises in the text."--


Book
Analysis of financial time series.
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ISBN: 9780470414354 9786612707834 0470414359 9780470644553 1282707833 0470644567 0470644559 Year: 2010 Publisher: Hoboken Wiley

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This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time seriesThe return series of multiple assetsBayesian inference in finance methods Key f

Keywords

Mathematical statistics --- Time-series analysis --- Econometrics --- Risk management --- Time-series analysis. --- Econometrics. --- Risk management. --- AA / International- internationaal --- 305.91 --- 304.0 --- 305.970 --- 519.2 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Probability. Mathematical statistics --- 519.2 Probability. Mathematical statistics --- -Econometrics --- -Risk management --- -332.0151955 --- Insurance --- Management --- Economics, Mathematical --- Statistics --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Probabilities --- Electronic information resources --- E-books --- Statistics - General --- Social Sciences --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Analyse des données --- Analyse des données

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