Modeling financial time series with S-PLUS®
The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show...
Enregistré dans:
| Auteurs principaux: | , |
|---|---|
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
New York, NY :
Springer New York
2006.
Cham : Springer Nature |
| Fag: | |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Modeling Financial Time Series with S-PLUS®, Texte imprimé, 9780387279657 • Modeling Financial Time Series with S-PLUS®, Texte imprimé, 9780387508634 |
Indholdsfortegnelse:
- S and S-PLUS
- Time Series Specification, Manipulation, and Visualization in S-PLUS
- Time Series Concepts
- Unit Root Tests
- Modeling Extreme Values
- Time Series Regression Modeling
- Univariate GARCH Modeling
- Long Memory Time Series Modeling
- Rolling Analysis of Time Series
- Systems of Regression Equations
- Vector Autoregressive Models for Multivariate Time Series
- Cointegration
- Multivariate GARCH Modeling
- State Space Models
- Factor Models for Asset Returns
- Term Structure of Interest Rates
- Robust Change Detection
- Nonlinear Time Series Models
- Copulas
- Continuous-Time Models for Financial Time Series
- Generalized Method of Moments
- Seminonparametric Conditional Density Models
- Effcient Method of Moments.