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Time Series: Applications to Finance

ISBN: 978-0-471-46164-7
224 pages
April 2004
Time Series: Applications to Finance (0471461644) cover image
Elements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. Examples from finance are maximized as much as possible throughout the book.
* Full set of exercises is displayed at the end of each chapter.
* First seven chapters cover standard topics in time series at a high-intensity level.
* Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail.
* Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.
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Preface.

Introduction.

Probability Models.

Autoregressive Moving Average Models.

Estimations in Time Domain.

Examples in SPLUS.

Forecasting.

Spectral Analysis.

Nonstationarity.

Heteroskedasticity.

Multivariate Time Series.

State Space Models.

Multivariate GARCH.

Cointegrations and Common Trends.

References.

Index.
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NGAI HANG CHAN, PhD, is Professor of Statistics and Director of the Risk Management Science Program at the Chinese University of Hong Kong and Professor of Statistics at Carnegie Mellon University.
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"...polishes off all the usual topics in introductory time series analysis in a mere 89 pages..." (Technometrics, Vol. 44, No. 4, November 2002)

"...developed for a quick course...the goal is to balance theoretical background with examples of applications." (Reference & Research Book News, August 2002)

"...provides a gateway to higher things..." (Short Book Reviews, December 2002)

"...should be useful for students who are studying methods of time series analysis..." (Mathematical Reviews, 2003e)

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