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E-Book

E-Book, Englisch, 336 Seiten, E-Book

Chan Time Series

Applications to Finance with R and S-Plus
2. Auflage 2011
ISBN: 978-1-118-03071-4
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

Applications to Finance with R and S-Plus

E-Book, Englisch, 336 Seiten, E-Book

ISBN: 978-1-118-03071-4
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)



A new edition of the comprehensive, hands-on guide to financialtime 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 tothe conceptual underpinnings and modern ideas of time seriesanalysis. Utilizing interesting, real-world applications and thelatest software packages, this book successfully helps readersgrasp the technical and conceptual manner of the topic in order togain a deeper understanding of the ever-changing dynamics of thefinancial world.
With balanced coverage of both theory and applications, thisSecond Edition includes new content to accurately reflect thecurrent state-of-the-art nature of financial time series analysis.A new chapter on Markov Chain Monte Carlo presents Bayesian methodsfor time series with coverage of Metropolis-Hastings algorithm,Gibbs sampling, and a case study that explores the relevance ofthese techniques for understanding activity in the Dow JonesIndustrial Average. The author also supplies a new presentation ofstatistical arbitrage that includes discussion of pairs trading andcointegration. In addition to standard topics such as forecastingand spectral analysis, real-world financial examples are used toillustrate recent developments in nonstandard techniques,including:
* Nonstationarity
* Heteroscedasticity
* Multivariate time series
* State space modeling and stochastic volatility
* Multivariate GARCH
* Cointegration and common trends
The book's succinct and focused organization allows readers tograsp the important ideas of time series. All examples aresystematically illustrated with S-Plus® and R software,highlighting the relevance of time series in financialapplications. End-of-chapter exercises and selected solutions allowreaders to test their comprehension of the presented material, anda related Web site features additional data sets.
Time Series: Applications to Finance with R and S-Plus® isan excellent book for courses on financial time series at theupper-undergraduate and beginning graduate levels. It also servesas an indispensible resource for practitioners working withfinancial data in the fields of statistics, economics, business,and risk management.

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Weitere Infos & Material


List of Figures.
List of Tables.
Preface.
Preface to the First Edition.
1 Introduction.
1.1 Basic Description.
1.2 Simple Descriptive Techniques.
1.3 Transformations.
1.4 Example.
1.5 Conclusions.
1.6 Exercises.
2 Probability Models.
2.1 Introduction.
2.2 Stochastic Processes.
2.3 Examples.
2.4 Sample Correlation Function.
2.5 Exercises.
3 Autoregressive Moving Average Models.
3.1 Introduction.
3.2 Moving Average Models.
3.3 Autoregressive Models.
3.4 ARMA Models.
3.5 ARIMA Models.
3.6 Seasonal ARIMA.
3.7 Exercises.
4 Estimation in the Time Domain.
4.1 Introduction.
4.2 Moment Estimators.
4.3 Autoregressive Models.
4.4 Moving Average Models.
4.5 ARMA Models.
4.6 Maximum Likelihood Estimates.
4.7 Partial ACF.
4.8 Order Selections.
4.9 Residual Analysis.
4.10 Model Building.
4.11 Exercises.
5 Examples in SPLUS andR.
5.1 Introduction.
5.2 Example 1.
5.3 Example 2.
5.4 Exercises.
6 Forecasting.
6.1 Introduction.
6.2 Simple Forecasts.
6.3 Box and Jenkins Approach.
6.4 Treasury Bill Example.
6.5 Recursions.
6.6 Exercises.
7 Spectral Analysis.
7.1 Introduction.
7.2 Spectral Representation Theorems.
7.3 Periodogram.
7.4 Smoothing of Periodogram.
7.5 Conclusions.
7.6 Exercises.
8 Nonstationarity.
8.1 Introduction.
8.2 Nonstationarity in Variance.
8.3 Nonstationarity in Mean: Random Walk with Drift.
8.4 Unit Root Test.
8.5 Simulations.
8.6 Exercises.
9 Heteroskedasticity.
9.1 Introduction.
9.2 ARCH.
9.3 GARCH.
9.4 Estimation and Testing for ARCH.
9.5 Example of Foreign Exchange Rates.
9.6 Exercises.
10 Multivariate Time Series.
10.1 Introduction.
10.2 Estimation of mu and Gamma.
10.3 Multivariate ARMA Processes.
10.4 Vector AR Models.
10.5 Example of Inferences for VAR.
10.6 Exercises.
11 State Space Models.
11.1 Introduction.
11.2 State Space Representation.
11.3 Kalman Recursions.
11.4 Stochastic Volatility Models.
11.5 Example of Kalman Filtering of Term Structure.
11.6 Exercises.
12 Multivariate GARCH.
12.1 Introduction.
12.2 General Model.
12.3 Quadratic Form.
12.4 Example of Foreign Exchange Rates.
12.5 Conclusions.
12.6 Exercises.
13 Cointegrations and Common Trends.
13.1 Introduction.
13.2 Definitions and Examples.
13.3 Error Correction Form.
13.4 Granger's Representation Theorem.
13.5 Structure of Cointegrated Systems.
13.6 Statistical Inference for Cointegrated Systems.
13.7 Example of Spot Index and Futures.
13.8 Conclusions.
13.9 Exercises.
14 Markov Chain Monte Carlo Methods.
14.1 Introduction.
14.2 Bayesian Inference.
14.3 Markov Chain Monte Carlo.
14.4 Exercises.
15 Statistical Arbitrage.
15.1 Introduction.
15.2 Pairs Trading.
15.3 Cointegration.
15.4 Simple Pairs Trading.
15.5 Cointegrations and Pairs Trading.
15.6 Hang Seng Index Components Example.
15.7 Exercises.
16 Answers to Selected Exercises.
16.1 Chapter 1.
16.2 Chapter 2.
16.3 Chapter 3.
16.4 Chapter 4.
16.5 Chapter 5.
16.6 Chapter 6.
16.7 Chapter 7.
16.8 Chapter 8.
16.9 Chapter 9.
16.10 Chapter 10.
16.11 Chapter 11.
16.12 Chapter 12.
16.13 Chapter 13.
16.14 Chapter 14.
16.15 Chapter 15.
References.
Subject Index.
Author Index.


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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