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Time Series: Applications to Finance

Time Series: Applications to Finance

Ngai Hang Chan

ISBN: 978-0-471-46164-7

Apr 2004

224 pages

Select type: E-Book

$118.99

Description

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.
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.
"...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)