Time Series (eBook)

Applications to Finance

Ngai Hang Chan (Autor)

eBook Download: PDF

2004 | 1. Auflage
224 Seiten
John Wiley & Sons (Verlag)
978-0-471-46164-7 (ISBN)

Infos

Elements of Financial Time Series fills a gap in the market in the
area of financial time series analysis by giving both conceptual
and practical illustrations. Examples and discussions in the later
chapters of the book make recent developments in time series more
accessible. Examples from finance are maximized as much as possible
throughout the book.

* Full set of exercises is displayed at the end of each
chapter.

* First seven chapters cover standard topics in time series at a
high-intensity level.

* Recent and timely developments in nonstandard time series
techniques are illustrated with real finance examples in
detail.

* Examples are systemically illustrated with S-plus with codes and
data available on an associated Web site.

Autor

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.

Inhalt

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.

Rezensionen

"...polishes off all the usual topics in introductory time series
analysis in a mere 89 pages..." (Technometrics, Vol. 44, No.
4, November 2002)

"...developed for a quick course...the goal is to balance
theoretical background with examples of applications."
(Reference & Research Book News, August 2002)

"...provides a gateway to higher things..." (Short Book
Reviews, December 2002)

"...should be useful for students who are studying methods of
time series analysis..." (Mathematical Reviews, 2003e)

Produkt-Details

• Erscheint lt. Verlag: 5.4.2004
• Reihe/Serie: Wiley Series in Probability and Statistics
• Reihe/Serie: Wiley Series in Probability and Statistics
• Sprache: englisch
• Themenwelt: Mathematik / Informatik ► Mathematik ► Statistik
• Themenwelt: Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
• Themenwelt: Recht / Steuern ► Wirtschaftsrecht
• Themenwelt: Technik
• Themenwelt: Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
• Schlagworte: Engineering statistics • Finanz- u. Wirtschaftsstatistik • Finanzwirtschaft • Statistics • Statistics for Finance, Business & Economics • Statistik • Statistik in den Ingenieurwissenschaften • Time Series • Zeitreihen • Zeitreihenanalyse
• ISBN-10: 0-471-46164-4 / 0471461644
• ISBN-13: 978-0-471-46164-7 / 9780471461647