Modeling Financial Time Series with S-PLUS®

Eric Zivot, Jiahui Wang

ISBN 10: 0387279652 / ISBN 13: 9780387279657

Verlag: Springer 08 D, 2005

Modeling Financial Time Series with S-PLUS® This book is in very good condition and will be shipped within 24 hours of ordering. The cover may have some limited signs of wear but the pages are clean, intact and the spine remains undamaged. This book has clearly been well maintained and looked after thus far. Money back guarantee if you are not satisfied. See all our books here, order more than 1 book and get discounted shipping. . Bestandsnummer des Verkäufers 7719-9780387279657

Inhaltsangabe:

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.

From the reviews of the second edition:

"It provides theoretical and empirical discussions on exhaustive topics in modern financial econometrics, statistics and time series. … it is definitely a good reference book for use in studying and/or researching in modern empirical finance … ." (T. S. Wirjanto, Short Book Reviews, Vol. 26 (1), 2006)

"...It is a pleasure to strongly recommend this text, and to include statisticians such as myself among the pleased audience." (Thomas L. Burr for Techommetrics, Vol. 49, No. 1, February 2007)

Über die Autorin bzw. den Autor:

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.

Bibliografische Details

Titel: Modeling Financial Time Series with S-PLUS®
Verlag: Springer 08 D
Erscheinungsdatum: 2005
Einband: Paperback
Zustand: Very Good
Auflage: 2. Auflage