Modeling Financial Time Series with S-PLUS
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Beschreibung
The book is unique in that it will serve as a users' manual for the S- Plus module S+FinMetrics and as a stand-alone book on financial time series. The audience is economics and finance.
Autor*in
Eric Zivot
Themen in »Modeling Financial Time Series with S-PLUS«
Factor GARCH STATISTICA calculus dynamics econometrics modeling modeling language regression statistical method statistics time series
Stimmen zu »Modeling Financial Time Series with S-PLUS«
"Certainly this book is far more than a software manual to S+FinMetrics and I believe it deserves to be read widely by people with an academic or professional interest in the analysis of financial time series…I consider Modeling Financial Time Series with S-PLUS one of the most useful additions to my bookshelf in recent years." Journal of the American Statistical Association, June 2004
"With Modeling Financial Time Series with S-PLUS, Zivot and Wang deliver an impressive tour de force covering many relevant topics in modern financial econometrics. As the table of contents outlines, the bookincludes anything from modern time series methods to recent advances in risk management, multivariate data analysis as applied to portfolio management, yiled-curve modeling to two detailed chapters on the already classic unvariate and multivariate GARCH-type volatitlity models. The topics are genereally introduced in a succint manner with brief formal discussions complemented by
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