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Paolella, Marc S.

Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH

Paolella, Marc S. - Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH, ebook

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ISBN: 9781119431985
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A comprehensive and timely edition on an emerging new trend in time series

Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation.

The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work.

  • Covers traditional time series analysis with new guidelines
  • Provides access to cutting edge topics that are at the forefront of financial econometrics and industry
  • Includes latest developments and topics such as financial returns data, notably also in a multivariate context
  • Written by a leading expert in time series analysis
  • Extensively classroom tested
  • Includes a tutorial on SAS
  • Supplemented with a companion website containing numerous Matlab programs
  • Solutions to most exercises are provided in the book

Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Keywords:

linear models; time series analysis; time-series analysis; guide to linear models; modern methods in time series analysis; econometrics; probability theory for economics; quantitative finance; statistical inference; investment division, risk management division, and model validation division; financial algorithms; econometric methods; financial analysis; linear models and finance; GARCH; ANOVA ARMA; Regression; distribution theory; linear model; univariate time series analysis; ARMAX; multivariate models; modeling financial asset returns; linear modeling for financial asset returns 

, Time Series, General Finance & Investments, Time Series, General Finance & Investments
Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2019
Language
en
Edition
1
Series
Wiley Series in Probability and Statistics
Page amount
896 pages
Category
Natural Sciences
Format
Ebook
eISBN (ePUB)
9781119431985
Printed ISBN
9781119431909

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