ISBN-10:
0471411175
ISBN-13:
9780471411178
Pub. Date:
04/05/2002
Publisher:
Wiley
Time Series: Applications to Finance / Edition 1

Time Series: Applications to Finance / Edition 1

by Ngai Hang Chan

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Overview

Elements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. Examples from finance are maximized as much as possible throughout the book.

• Full set of exercises is displayed at the end of each chapter.

• First seven chapters cover standard topics in time series at a high-intensity level.

• Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail.

• Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.

Product Details

ISBN-13: 9780471411178
Publisher: Wiley
Publication date: 04/05/2002
Series: Wiley Series in Probability and Statistics Series , #456
Edition description: Older Edition
Pages: 224
Product dimensions: 6.36(w) x 9.41(h) x 0.63(d)

About the Author

NGAI HANG CHAN, PhD, is Professor of Statistics and Director of the Risk Management Science Program at the Chinese University of Hong Kong and Professor of Statistics at Carnegie Mellon University.

Table of Contents

Preface.

Introduction.

Probability Models.

Autoregressive Moving Average Models.

Estimations in Time Domain.

Examples in SPLUS.

Forecasting.

Spectral Analysis.

Nonstationarity.

Heteroskedasticity.

Multivariate Time Series.

State Space Models.

Multivariate GARCH.

Cointegrations and Common Trends.

References.

Index.

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