Synopsis
"This book is designed to help readers grasp the conceptual underpinnings of time series modeling in order to gain a deeper understanding of the ever-changing dynamics of the financial world. It covers theory and application equally for readers from both financial and mathematical backgrounds"--
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
À propos de l?auteur
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
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Time Series : Applications to Finance With R and S-Plus
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Time Series (Hardcover)
Edité par
John Wiley & Sons Inc, New York, 2010
ISBN 10 : 0470583622
ISBN 13 : 9780470583623
Neuf
Couverture rigide
Vendeur : Grand Eagle Retail, Bensenville, IL, Etats-Unis
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Hardcover. Etat : new. Hardcover. 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. Utilizing 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 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 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: NonstationarityHeteroscedasticityMultivariate time seriesState space modeling and stochastic volatilityMultivariate GARCHCointegration and common trends The book's succinct and focused organization 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 Web site 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 indispensible resource for practitioners working with financial data in the fields of statistics, economics, business, and risk management. * 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. N° de réf. du vendeur 9780470583623
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Time Series: Applications to Finance with R and S-Plus (eng)
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Time Series
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Time Series : Applications to Finance With R and S-Plus
Edité par
Wiley, 2010
ISBN 10 : 0470583622
ISBN 13 : 9780470583623
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Time Series : Applications to Finance With R and S-Plus
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Time series applications to finance with R and S-Plus
Edité par
John Wiley & Sons Limited, West Sussex, 2011
ISBN 10 : 0470583622
ISBN 13 : 9780470583623
Neuf
Couverture rigide
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Time Series: Applications to Finance with R and S-Plus (Wiley Series in Probability and Statistics)
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Image d'archives
Time Series : Applications to Finance With R and S-Plus
Edité par
Wiley, 2010
ISBN 10 : 0470583622
ISBN 13 : 9780470583623
Ancien ou d'occasion
Couverture rigide
Vendeur : GreatBookPricesUK, Woodford Green, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Etat : As New. Unread book in perfect condition. N° de réf. du vendeur 6918330
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Time Series (Hardcover)
Edité par
John Wiley & Sons Inc, New York, 2010
ISBN 10 : 0470583622
ISBN 13 : 9780470583623
Neuf
Couverture rigide
Vendeur : CitiRetail, Stevenage, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
Hardcover. Etat : new. Hardcover. 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. Utilizing 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 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 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: NonstationarityHeteroscedasticityMultivariate time seriesState space modeling and stochastic volatilityMultivariate GARCHCointegration and common trends The book's succinct and focused organization 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 Web site 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 indispensible resource for practitioners working with financial data in the fields of statistics, economics, business, and risk management. * 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. Shipping may be from our UK warehouse or from our Australian or US warehouses, depending on stock availability. N° de réf. du vendeur 9780470583623
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