Time Series: Applications to Finance
* 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.
Autoregressive Moving Average Models.
Estimations in Time Domain.
Examples in SPLUS.
Multivariate Time Series.
State Space Models.
Cointegrations and Common Trends.
"...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)