Modeling Financial Time Series with S-PlUS SPRINGER VERSION （2002. 680 p.）

Zivot, E./ Wang, J.

SPRINGER, BERLIN（2002発売）

• 製本 Paperback:紙装版/ペーパーバック版／ページ数 680 p.
• 商品コード 9780387955490

Full Description

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. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department at the University of Washington, and is co-director of the nascent Professional Master's Program in Computational Finance. 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 the Journal of Business and Economic Statistics and 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 a Research Scientist at Insightful Corporation. 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.

Contents

Time Series Specification, Manipulation and Visualization in S-PLUS * Time Series Concepts * Unit Root Tests * Modeling Extreme Values * Time Series Regression Modeling * Univariate GARCH Models * Modeling Long Memory Time Series * Rolling Analysis * Systems of Regression Equations * Vector Autoregressive Models * Multivariate GARCH Models * State Space Models * Factor Models for Asset Returns * Robust Statistical Methods in Finance * Modeling Fixed Income Time Series.