Time Series
Applications to Finance
Published on 22. March 2004
224 pages
978-0-471-46164-7 (ISBN)
Description
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.
Reviews / Votes
"...polishes off all the usual topics in introductory time seriesanalysis in a mere 89 pages..." (Technometrics, Vol. 44, No.4, November 2002) "...developed for a quick course...the goal is to balancetheoretical background with examples of applications."(Reference & Research Book News, August 2002) "...provides a gateway to higher things..." (Short BookReviews, December 2002) "...should be useful for students who are studying methods oftime series analysis..." (Mathematical Reviews, 2003e)More details
Other editions
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E-Book
01/2011
2nd Edition
Wiley
€133.99
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Book
04/2002
1st Edition
Wiley
€122.00
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Person
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.
Content
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.
