Modeling Financial Time Series with S-PLUS®
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...
| Κύριοι συγγραφείς: | , |
|---|---|
| Συγγραφή απο Οργανισμό/Αρχή: | |
| Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
| Γλώσσα: | English |
| Έκδοση: |
New York, NY :
Springer New York,
2006.
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| Έκδοση: | Second Edition. |
| Θέματα: | |
| Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- S and S-PLUS
- Time Series Specification, Manipulation, and Visualization in S-PLUS
- Time Series Concepts
- Unit Root Tests
- Modeling Extreme Values
- Time Series Regression Modeling
- Univariate GARCH Modeling
- Long Memory Time Series Modeling
- Rolling Analysis of Time Series
- Systems of Regression Equations
- Vector Autoregressive Models for Multivariate Time Series
- Cointegration
- Multivariate GARCH Modeling
- State Space Models
- Factor Models for Asset Returns
- Term Structure of Interest Rates
- Robust Change Detection
- Nonlinear Time Series Models
- Copulas
- Continuous-Time Models for Financial Time Series
- Generalized Method of Moments
- Seminonparametric Conditional Density Models
- Effcient Method of Moments.
