Modeling Financial Time Series with S-Plus

Eric Zivot, Jiahui Wang

652 pages, parution le 20/11/2002

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Résumé

The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts.

Contents

S and S-Plus
Time Series Specification, Manipulation and Visualization in S-PLUS
Time Series Concepts
Unit Root Tests
Modeling Extreme Values
Time Series Regression Modeling
Univariate GARCH Modeling
Long Memory Time Series Modeling
Rolling Analysis of Time Series
Systems of Regression Equations
Vector Autoregressive Models Multivariate Time Series
Cointegration
Multivariate GARCH Modeling
State Space Models
Factor Models for Asset Returns
Term Structure of Interest Rates
Robust Change Detection

L'auteur - Eric Zivot

Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department at the University of Washington, and is co-director of the nascent Professional Master's Program in Computational Finance. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of the Journal of Business and Economic Statistics and Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics.

L'auteur - Jiahui Wang

Jiahui Wang is a Research Scientist at Insightful Corporation. He received a Ph.D. in Economics from the university of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

Caractéristiques techniques

	PAPIER
Éditeur(s)	Springer
Auteur(s)	Eric Zivot, Jiahui Wang
Parution	20/11/2002
Nb. de pages	652
Format	15,5 x 23,5
Couverture	Broché
Poids	923g
Intérieur	Noir et Blanc
EAN13	9780387955490
ISBN13	978-0-387-95549-0