Chan, Ngai Hang

Time Series: Applications to Finance with R and S-Plus

Chan, Ngai Hang - Time Series: Applications to Finance with R and S-Plus, ebook


Ebook, PDF with Adobe DRM
ISBN: 9781118030714
DRM Restrictions

Printing89 pages with an additional page accrued every 9 hours, capped at 89 pages
Copy to clipboard5 excerpts

A new edition of the comprehensive, hands-on guide to financial time series, now featuring S-Plus® and R software

Time 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.

With 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:

  • Nonstationarity
  • Heteroscedasticity
  • Multivariate time series
  • State space modeling and stochastic volatility
  • Multivariate GARCH
  • Cointegration and common trends

The 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.

Time 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.

Keywords: Statistics for Finance, Business & Economics

John Wiley and Sons, Inc.
Publication year
Wiley Series in Probability and Statistics
Page amount
296 pages
Natural Sciences
Printed ISBN

Similar titles