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Time Series : Applications to Finance with R and S-Plus(R). 2nd ed. 時系列－RとS-Plus(R)による金融への応用 第2版
・ISBN 978-0-470-58362-3 hard US$ 159.95
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-118-03246-6
| 著者・編者 | Chan, Ngai Hang, |
|---|---|
| シリーズ | Wiley Series in Probability and Statistics |
| 出版社 | (Wiley, US) |
| 出版年月 | 2010 |
| ページ数 | 296 pp. |
| 言語 | ENG |
| ニュース番号 | ＜578-243 578-377＞ |
解説
A new edition of the comprehensive, hands-on guide to financial time series, now featuring S-Plus (R) and R software
Time Series: Applications to Finance with R and S-Plus (R), Second Edition is designed to present an in-depth introduction to the conceptual underpinnings and modern ideas of time series analysis. Utilizing interesting, real-world applications and the latest software packages, this book successfully helps readers grasp the technical and conceptual manner of the topic in order to gain a deeper understanding of the ever-changing dynamics of the financial world.
With balanced coverage of both theory and applications, this Second Edition includes new content to accurately reflect the current state-of-the-art nature of financial time series analysis. A new chapter on Markov Chain Monte Carlo presents Bayesian methods for time series with coverage of Metropolis-Hastings algorithm, Gibbs sampling, and a case study that explores the relevance of these techniques for understanding activity in the Dow Jones Industrial Average. The author also supplies a new presentation of statistical arbitrage that includes discussion of pairs trading and cointegration. In addition to standard topics such as forecasting and spectral analysis, real-world financial examples are used to illustrate recent developments in nonstandard techniques, including:
- Nonstationarity
- Heteroscedasticity
- Multivariate time series
- State space modeling and stochastic volatility
- Multivariate GARCH
- Cointegration and common trends
The book's succinct and focused organization allows readers to grasp the important ideas of time series. All examples are systematically illustrated with S-Plus (R) and R software, highlighting the relevance of time series in financial applications. End-of-chapter exercises and selected solutions allow readers to test their comprehension of the presented material, and a related Web site features additional data sets.
Time Series: Applications to Finance with R and S-Plus (R) is an excellent book for courses on financial time series at the upper-undergraduate and beginning graduate levels. It also serves as an indispensible resource for practitioners working with financial data in the fields of statistics, economics, business, and risk management.