Chan Time Series

Applications to Finance
1. Auflage 2004
ISBN: 978-0-471-46164-7
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 224 Seiten, E-Book

Reihe: Wiley Series in Probability and Statistics

Elements of Financial Time Series fills a gap in the market in thearea of financial time series analysis by giving both conceptualand practical illustrations. Examples and discussions in the laterchapters of the book make recent developments in time series moreaccessible. Examples from finance are maximized as much as possiblethroughout the book.
* Full set of exercises is displayed at the end of eachchapter.
* First seven chapters cover standard topics in time series at ahigh-intensity level.
* Recent and timely developments in nonstandard time seriestechniques are illustrated with real finance examples indetail.
* Examples are systemically illustrated with S-plus with codes anddata available on an associated Web site.

Autoren/Hrsg.

Chan, Ngai Hang

Inhaltsverzeichnis

Preface.
Introduction.
Probability Models.
Autoregressive Moving Average Models.
Estimations in Time Domain.
Examples in SPLUS.
Forecasting.
Spectral Analysis.
Nonstationarity.
Heteroskedasticity.
Multivariate Time Series.
State Space Models.
Multivariate GARCH.
Cointegrations and Common Trends.
References.
Index.

Über Autor(innen)

NGAI HANG CHAN, PhD, is Professor of Statistics and Director of the Risk Management Science Program at the Chinese University of Hong Kong and Professor of Statistics at Carnegie Mellon University.