Coverart for item
The Resource Time series : applications to finance, Ngai Hang Chan

Time series : applications to finance, Ngai Hang Chan

Label
Time series : applications to finance
Title
Time series
Title remainder
applications to finance
Statement of responsibility
Ngai Hang Chan
Creator
Subject
Language
eng
Summary
  • "Time 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; and cointegrations and common trends." "All examples are systematically illustrated with S-Plus 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."--Jacket
  • "Time 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; and cointegrations and common trends." "All examples are systematically illustrated with S-Plus 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."--BOOK JACKET
Member of
Cataloging source
DLC
http://library.link/vocab/creatorName
Chan, Ngai Hang
Dewey number
332/.01/5195
Illustrations
illustrations
Index
index present
LC call number
HA30.3
LC item number
.C47 2002
Literary form
non fiction
Nature of contents
bibliography
Series statement
Wiley series in probability and statistics
http://library.link/vocab/subjectName
  • Time-series analysis
  • Econometrics
  • Risk management
Label
Time series : applications to finance, Ngai Hang Chan
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 195-199) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 5.
  • Examples in SPLUS
  • 6.
  • Forecasting
  • 7.
  • Spectral Analysis
  • 8.
  • Nonstationarity
  • 9.
  • Heteroskedasticity
  • 1.
  • 10.
  • Multivariate Time Series
  • 11.
  • State Space Models
  • 12.
  • Multivariate GARCH
  • 13.
  • Cointegrations and Common Trends
  • Introduction
  • 2.
  • Probability Models
  • 3.
  • Autoregressive Moving Average Models
  • 4.
  • Estimation in the Time Domain
Control code
47181966
Dimensions
24 cm
Extent
xiii, 203 pages
Isbn
9780471411178
Isbn Type
(cloth : alk. paper)
Lccn
2001026955
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations
Label
Time series : applications to finance, Ngai Hang Chan
Publication
Bibliography note
Includes bibliographical references (pages 195-199) and index
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
  • 5.
  • Examples in SPLUS
  • 6.
  • Forecasting
  • 7.
  • Spectral Analysis
  • 8.
  • Nonstationarity
  • 9.
  • Heteroskedasticity
  • 1.
  • 10.
  • Multivariate Time Series
  • 11.
  • State Space Models
  • 12.
  • Multivariate GARCH
  • 13.
  • Cointegrations and Common Trends
  • Introduction
  • 2.
  • Probability Models
  • 3.
  • Autoregressive Moving Average Models
  • 4.
  • Estimation in the Time Domain
Control code
47181966
Dimensions
24 cm
Extent
xiii, 203 pages
Isbn
9780471411178
Isbn Type
(cloth : alk. paper)
Lccn
2001026955
Media category
unmediated
Media MARC source
rdamedia
Media type code
  • n
Other physical details
illustrations

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
Processing Feedback ...