133411
9780471411178
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Expert coverage of time series techniques for financial applicationsTime Series is designed to help readers grasp the conceptual underpinnings of time series modeling in order to gain a deeper understanding of the ever-changing dynamics of the financial world. It covers theory and application equally for readers from both financial and mathematical backgrounds.The book offers succinct coverage of standard topics in statistical time series-such as forecasting and spectral analysis-in a manner that is both technical and conceptual. Recent developments in nonstandard time series techniques are discussed and illustrated in detail with real financial examples. These techniques include: Nonstationarity Heteroskedasticity Multivariate time series State space modeling and stochastic volatility Multivariate GARCH Cointegrations and common trends All examples are systematically illustrated with S-Plusreg; and highlight the relevance of time series in financial applications. Detailed analyses and explanations for the S-Plus commands, as well as challenging end-of-chapter exercises, are also provided.Chan, Ngai Hang is the author of 'Time Series Applications to Finance', published 2002 under ISBN 9780471411178 and ISBN 0471411175.
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