{"product_id":"time-series-applications-to-finance-with-r-and-s-plus-hardback-9780470583623","title":"Time Series; Applications to Finance with R and S-Plus (Hardback) 9780470583623","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eTime Series\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eApplications to Finance with R and S-Plus\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eNgai Hang Chan (Author)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9780470583623, Wiley\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 22 October 2010\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e336 pages, Charts: 10 B\u0026amp;W, 0 Color; Screen captures: 15 B\u0026amp;W, 0 Color; Tables: 0 B\u0026amp;W, 0 Color; Graphs: 40 B\u0026amp;W, 0 Color\u003cbr\u003e23.6 x 16 x 2 cm, 0.635 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cem\u003e\u003cfont size=\"3\"\u003e\"Both are on topics of intense interest among academicians and financial practitioners. Their inclusoin makes the book more up-to-date and hopefully entertains a broader spectrum of readers. Upon many requests from users of the first edition, a new chapter on solutions to selected exercises has also been prepared so as to make the book more accessible to instructors and students alike.\" (Mathematical Reviews, 2011)  \u003cp\u003e \u003c\/p\u003e\u003c\/font\u003e\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003e\u003cp\u003eA new edition of the comprehensive, hands-on guide to financial time series, now featuring S-Plus® and R software\u003c\/p\u003e \u003cp\u003eTime Series: Applications to Finance with R and S-Plus®, 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.\u003c\/p\u003e \u003cp\u003eWith 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:\u003c\/p\u003e \u003cul\u003e \u003cli\u003eNonstationarity\u003c\/li\u003e \u003cli\u003eHeteroscedasticity\u003c\/li\u003e \u003cli\u003eMultivariate time series\u003c\/li\u003e \u003cli\u003eState space modeling and stochastic volatility\u003c\/li\u003e \u003cli\u003eMultivariate GARCH\u003c\/li\u003e \u003cli\u003eCointegration and common trends\u003c\/li\u003e \u003c\/ul\u003e \u003cp\u003eThe book's succinct and focused organization allows readers to grasp the important ideas of time series. All examples are systematically illustrated with S-Plus® 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.\u003c\/p\u003e \u003cp\u003eTime Series: Applications to Finance with R and S-Plus® 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.\u003c\/p\u003e\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eList of Figures.  \u003cp\u003eList of Tables.\u003c\/p\u003e \u003cp\u003ePreface.\u003c\/p\u003e \u003cp\u003ePreface to the First Edition.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Basic Description.\u003c\/p\u003e \u003cp\u003e1.2 Simple Descriptive Techniques.\u003c\/p\u003e \u003cp\u003e1.3 Transformations.\u003c\/p\u003e \u003cp\u003e1.4 Example.\u003c\/p\u003e \u003cp\u003e1.5 Conclusions.\u003c\/p\u003e \u003cp\u003e1.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Probability Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction.\u003c\/p\u003e \u003cp\u003e2.2 Stochastic Processes.\u003c\/p\u003e \u003cp\u003e2.3 Examples.\u003c\/p\u003e \u003cp\u003e2.4 Sample Correlation Function.\u003c\/p\u003e \u003cp\u003e2.5 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Autoregressive Moving Average Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction.\u003c\/p\u003e \u003cp\u003e3.2 Moving Average Models.\u003c\/p\u003e \u003cp\u003e3.3 Autoregressive Models.\u003c\/p\u003e \u003cp\u003e3.4 ARMA Models.\u003c\/p\u003e \u003cp\u003e3.5 ARIMA Models.\u003c\/p\u003e \u003cp\u003e3.6 Seasonal ARIMA.\u003c\/p\u003e \u003cp\u003e3.7 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Estimation in the Time Domain.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction.\u003c\/p\u003e \u003cp\u003e4.2 Moment Estimators.\u003c\/p\u003e \u003cp\u003e4.3 Autoregressive Models.\u003c\/p\u003e \u003cp\u003e4.4 Moving Average Models.\u003c\/p\u003e \u003cp\u003e4.5 ARMA Models.\u003c\/p\u003e \u003cp\u003e4.6 Maximum Likelihood Estimates.\u003c\/p\u003e \u003cp\u003e4.7 Partial ACF.\u003c\/p\u003e \u003cp\u003e4.8 Order Selections.\u003c\/p\u003e \u003cp\u003e4.9 Residual Analysis.\u003c\/p\u003e \u003cp\u003e4.10 Model Building.\u003c\/p\u003e \u003cp\u003e4.11 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Examples in \u003ci\u003eS\u003csmall\u003ePLUS\u003c\/small\u003e\u003c\/i\u003e and \u003ci\u003eR\u003c\/i\u003e.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction.\u003c\/p\u003e \u003cp\u003e5.2 Example 1.\u003c\/p\u003e \u003cp\u003e5.3 Example 2.\u003c\/p\u003e \u003cp\u003e5.4 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Forecasting.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction.\u003c\/p\u003e \u003cp\u003e6.2 Simple Forecasts.\u003c\/p\u003e \u003cp\u003e6.3 Box and Jenkins Approach.\u003c\/p\u003e \u003cp\u003e6.4 Treasury Bill Example.\u003c\/p\u003e \u003cp\u003e6.5 Recursions.\u003c\/p\u003e \u003cp\u003e6.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Spectral Analysis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction.\u003c\/p\u003e \u003cp\u003e7.2 Spectral Representation Theorems.\u003c\/p\u003e \u003cp\u003e7.3 Periodogram.\u003c\/p\u003e \u003cp\u003e7.4 Smoothing of Periodogram.\u003c\/p\u003e \u003cp\u003e7.5 Conclusions.\u003c\/p\u003e \u003cp\u003e7.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Nonstationarity.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction.\u003c\/p\u003e \u003cp\u003e8.2 Nonstationarity in Variance.\u003c\/p\u003e \u003cp\u003e8.3 Nonstationarity in Mean: Random Walk with Drift.\u003c\/p\u003e \u003cp\u003e8.4 Unit Root Test.\u003c\/p\u003e \u003cp\u003e8.5 Simulations.\u003c\/p\u003e \u003cp\u003e8.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Heteroskedasticity.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction.\u003c\/p\u003e \u003cp\u003e9.2 ARCH.\u003c\/p\u003e \u003cp\u003e9.3 GARCH.\u003c\/p\u003e \u003cp\u003e9.4 Estimation and Testing for ARCH.\u003c\/p\u003e \u003cp\u003e9.5 Example of Foreign Exchange Rates.\u003c\/p\u003e \u003cp\u003e9.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Multivariate Time Series.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction.\u003c\/p\u003e \u003cp\u003e10.2 Estimation of μ and Γ.\u003c\/p\u003e \u003cp\u003e10.3 Multivariate ARMA Processes.\u003c\/p\u003e \u003cp\u003e10.4 Vector AR Models.\u003c\/p\u003e \u003cp\u003e10.5 Example of Inferences for VAR.\u003c\/p\u003e \u003cp\u003e10.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 State Space Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction.\u003c\/p\u003e \u003cp\u003e11.2 State Space Representation.\u003c\/p\u003e \u003cp\u003e11.3 Kalman Recursions.\u003c\/p\u003e \u003cp\u003e11.4 Stochastic Volatility Models.\u003c\/p\u003e \u003cp\u003e11.5 Example of Kalman Filtering of Term Structure.\u003c\/p\u003e \u003cp\u003e11.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Multivariate GARCH.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction.\u003c\/p\u003e \u003cp\u003e12.2 General Model.\u003c\/p\u003e \u003cp\u003e12.3 Quadratic Form.\u003c\/p\u003e \u003cp\u003e12.4 Example of Foreign Exchange Rates.\u003c\/p\u003e \u003cp\u003e12.5 Conclusions.\u003c\/p\u003e \u003cp\u003e12.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Cointegrations and Common Trends.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction.\u003c\/p\u003e \u003cp\u003e13.2 Definitions and Examples.\u003c\/p\u003e \u003cp\u003e13.3 Error Correction Form.\u003c\/p\u003e \u003cp\u003e13.4 Granger’s Representation Theorem.\u003c\/p\u003e \u003cp\u003e13.5 Structure of Cointegrated Systems.\u003c\/p\u003e \u003cp\u003e13.6 Statistical Inference for Cointegrated Systems.\u003c\/p\u003e \u003cp\u003e13.7 Example of Spot Index and Futures.\u003c\/p\u003e \u003cp\u003e13.8 Conclusions.\u003c\/p\u003e \u003cp\u003e13.9 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Markov Chain Monte Carlo Methods.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction.\u003c\/p\u003e \u003cp\u003e14.2 Bayesian Inference.\u003c\/p\u003e \u003cp\u003e14.3 Markov Chain Monte Carlo.\u003c\/p\u003e \u003cp\u003e14.4 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Statistical Arbitrage.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction.\u003c\/p\u003e \u003cp\u003e15.2 Pairs Trading.\u003c\/p\u003e \u003cp\u003e15.3 Cointegration.\u003c\/p\u003e \u003cp\u003e15.4 Simple Pairs Trading.\u003c\/p\u003e \u003cp\u003e15.5 Cointegrations and Pairs Trading.\u003c\/p\u003e \u003cp\u003e15.6 Hang Seng Index Components Example.\u003c\/p\u003e \u003cp\u003e15.7 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Answers to Selected Exercises.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Chapter 1.\u003c\/p\u003e \u003cp\u003e16.2 Chapter 2.\u003c\/p\u003e \u003cp\u003e16.3 Chapter 3.\u003c\/p\u003e \u003cp\u003e16.4 Chapter 4.\u003c\/p\u003e \u003cp\u003e16.5 Chapter 5.\u003c\/p\u003e \u003cp\u003e16.6 Chapter 6.\u003c\/p\u003e \u003cp\u003e16.7 Chapter 7.\u003c\/p\u003e \u003cp\u003e16.8 Chapter 8.\u003c\/p\u003e \u003cp\u003e16.9 Chapter 9.\u003c\/p\u003e \u003cp\u003e16.10 Chapter 10.\u003c\/p\u003e \u003cp\u003e16.11 Chapter 11.\u003c\/p\u003e \u003cp\u003e16.12 Chapter 12.\u003c\/p\u003e \u003cp\u003e16.13 Chapter 13.\u003c\/p\u003e \u003cp\u003e16.14 Chapter 14.\u003c\/p\u003e \u003cp\u003e16.15 Chapter 15.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003eSubject Index.\u003c\/p\u003e \u003cp\u003eAuthor Index.\u003c\/p\u003e\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Mathematics [\u003ca title=\"See our other books on Mathematics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Mathematics%20%5BPB%5D%22\"\u003ePB\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Wiley","offers":[{"title":"Brand New","offer_id":52276367032600,"sku":"9780470583623","price":91.68,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9780470583623.jpg?v=1781367765","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/time-series-applications-to-finance-with-r-and-s-plus-hardback-9780470583623","provider":"Freshly Printed Books","version":"1.0","type":"link"}