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Time Series

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  • Author(s)Ngai Hang Chan
  • Edition1
  • Published13th September 2010
  • PublisherJohn Wiley & Sons Inc (US)
  • ISBN
  • University course code

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.

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