MODELING FINANCIAL TIME SERIES WITH S-PLUS ZIVOT E. WANG J. Księgarnia

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.

This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments.

Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. 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 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.

Jiahui Wang is an employee of Ronin Capital LLC. 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.

Contents

Preface

1 S and S-PLUS 1

2 Time Series Speci.cation, Manipulation,

3 Time Series Concepts

4 UnitRootTests

5 Modeling Extreme Values

6 Time Series Regression Modeling

7 Univariate GARCH Modeling

8 Long Memory Time Series Modeling

9 Rolling Analysis of Time Series

10 Systems of Regression Equations

11 Vector Autoregressive Models for Multivariate Time Series

12 Cointegration

13 Multivariate GARCH Modeling

14 State Space Models

15 Factor Models for Asset Returns

16 Term Structure of Interest Rates

17 Robust Change Detection

18 Nonlinear Time Series Models

19 Copulas

20 Continuous-Time Models for Financial Time Series

21 Generalized Method of Moments

22 Seminonparametric Conditional Density Models

Index

1002 pages 270 illus., Softcover

Written for: Researchers, graduate students

Po otrzymaniu zamówienia poinformujemy,
czy wybrany tytuł polskojęzyczny lub anglojęzyczny jest aktualnie na półce księgarni.