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Time Series
Applications to Finance with R and S-Plus
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Time Series
$29599
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Book Hero Magic created this recommendation. While it's new and still learning, it may not be perfect - your feedback is welcome! IS THIS YOUR NEXT READ?
This book may appeal to you if you are interested in exploring the statistical analysis and modelling techniques used in finance and investment for predicting future events. It provides clear insights into time series data, which is vital for making informed financial decisions and managing investments effectively.
* The author is well known for his clear, concise, and authentic presentation. * Two new chapters now appear on Bayesian methods and arbitrage statistics. * Special emphasis is placed on applications from around the world, including, but not limited to, Asia; China; and Europe.
Book Hero Magic formatted this description to make it easier to read. While it's new and
still learning, it may not be perfect - your
feedback is welcome!
Description
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. Utilising 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 the 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 a 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 modelling and stochastic volatility
- Multivariate GARCH
- Cointegration and common trends
The book's succinct and focused organisation 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 website 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 indispensable resource for practitioners working with financial data in the fields of statistics, economics, business, and risk management.
Book Hero Magic summarised reviews for this book. While it's new and still learning, it may not be perfect - your feedback is welcome! HOW HAS THIS BEEN REVIEWED?
The reviews highlight the book's appeal to both academics and financial practitioners due to its contemporary topics. The addition of solutions to selected exercises in a new chapter enhances its usability for instructors and students, broadening its accessibility.
Book Details
INFORMATION
ISBN: 9780470583623
Publisher: John Wiley & Sons Inc
Format: Hardback
Date Published: 22 October 2010
Country: United States
Imprint: John Wiley & Sons Inc
Edition: 2nd edition
Illustration: Charts: 10 B&W, 0 Color; Screen captures: 15 B&W, 0 Color; Tables: 0 B&W, 0 Color; Graphs: 40 B&W, 0 Color
Audience: Professional and scholarly
DIMENSIONS
Spine width: 20.0mm
Width: 160.0mm
Height: 236.0mm
Weight: 635g
Pages: 336
About the Author
NGAI HANG CHAN, PhD, is Head and Chair Professor of Statistics at the Chinese University of Hong Kong. He has published extensively in the areas of time series, statistical finance, econometrics, risk management, and stochastic processes. A Fellow of the Institute of Mathematical Statistics and the American Statistical Association, Dr. Chan is the coauthor of Simulation Techniques in Financial Risk Management, also published by Wiley.
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