Time Series Applications to Finance with R and S-Plus
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Form:Einzelkauf Download
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Sprache:Englisch
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Auflage:2. Auflage
- 2. Auflage 133,99 € ausgewählt
- 1. Auflage 102,99 €
133,99 €
inkl. gesetzl. MwSt.Beschreibung
Produktdetails
Format
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Nein
Erscheinungsdatum
26.01.2011
Verlag
WileySeitenzahl
330 (Printausgabe)
Dateigröße
11078 KB
Auflage
2. Auflage
Sprache
Englisch
EAN
9781118030714
A new edition of the comprehensive, hands-on guide to financial
time series, now featuring S-Plus® and R software
Time Series: Applications to Finance with R and S-Plus®,
Second Edition is designed to present an in-depth introduction to
the conceptual underpinnings and modern ideas of time series
analysis. Utilizing interesting, real-world applications and the
latest software packages, this book successfully helps readers
grasp the technical and conceptual manner of the topic in order to
gain a deeper understanding of the ever-changing dynamics of the
financial world.
With balanced coverage of both theory and applications, this
Second Edition includes new content to accurately reflect the
current state-of-the-art nature of financial time series analysis.
A new chapter on Markov Chain Monte Carlo presents Bayesian methods
for time series with coverage of Metropolis-Hastings algorithm,
Gibbs sampling, and a case study that explores the relevance of
these techniques for understanding activity in the Dow Jones
Industrial Average. The author also supplies a new presentation of
statistical arbitrage that includes discussion of pairs trading and
cointegration. In addition to standard topics such as forecasting
and spectral analysis, real-world financial examples are used to
illustrate recent developments in nonstandard techniques,
including:
* Nonstationarity
* Heteroscedasticity
* Multivariate time series
* State space modeling and stochastic volatility
* Multivariate GARCH
* Cointegration and common trends
The book's succinct and focused organization allows readers to
grasp the important ideas of time series. All examples are
systematically illustrated with S-Plus® and R software,
highlighting the relevance of time series in financial
applications. End-of-chapter exercises and selected solutions allow
readers to test their comprehension of the presented material, and
a related Web site features additional data sets.
Time Series: Applications to Finance with R and S-Plus® is
an excellent book for courses on financial time series at the
upper-undergraduate and beginning graduate levels. It also serves
as an indispensible resource for practitioners working with
financial data in the fields of statistics, economics, business,
and risk management.
time series, now featuring S-Plus® and R software
Time Series: Applications to Finance with R and S-Plus®,
Second Edition is designed to present an in-depth introduction to
the conceptual underpinnings and modern ideas of time series
analysis. Utilizing interesting, real-world applications and the
latest software packages, this book successfully helps readers
grasp the technical and conceptual manner of the topic in order to
gain a deeper understanding of the ever-changing dynamics of the
financial world.
With balanced coverage of both theory and applications, this
Second Edition includes new content to accurately reflect the
current state-of-the-art nature of financial time series analysis.
A new chapter on Markov Chain Monte Carlo presents Bayesian methods
for time series with coverage of Metropolis-Hastings algorithm,
Gibbs sampling, and a case study that explores the relevance of
these techniques for understanding activity in the Dow Jones
Industrial Average. The author also supplies a new presentation of
statistical arbitrage that includes discussion of pairs trading and
cointegration. In addition to standard topics such as forecasting
and spectral analysis, real-world financial examples are used to
illustrate recent developments in nonstandard techniques,
including:
* Nonstationarity
* Heteroscedasticity
* Multivariate time series
* State space modeling and stochastic volatility
* Multivariate GARCH
* Cointegration and common trends
The book's succinct and focused organization allows readers to
grasp the important ideas of time series. All examples are
systematically illustrated with S-Plus® and R software,
highlighting the relevance of time series in financial
applications. End-of-chapter exercises and selected solutions allow
readers to test their comprehension of the presented material, and
a related Web site features additional data sets.
Time Series: Applications to Finance with R and S-Plus® is
an excellent book for courses on financial time series at the
upper-undergraduate and beginning graduate levels. It also serves
as an indispensible resource for practitioners working with
financial data in the fields of statistics, economics, business,
and risk management.
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