Modeling Financial Time Series with S-PLUS® (Google eBook)
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 the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This second edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. From the reviews of the second edition: 'It provides theoretical and empirical discussions on exhaustive topics in modern financial econometrics, statistics and time series. … it is definitely a good reference book for use in studying and/or researching in modern empirical finance … .' (T. S. Wirjanto, Short Book Reviews, Vol. 26 (1), 2006) '...It is a pleasure to strongly recommend this text, and to include statisticians such as myself among the pleased audience.' (Thomas L. Burr for Techommetrics, Vol. 49, No. 1, February 2007)
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1355 Multivariate Conditional tDistribution
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SP 500 negative returns
normal PDF when ?2 the density has thicker tails than
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FIGURE 122 Simulated bivariate cointegrated system with 3 1
235 240 245 250 255
FIGURE 134 QQplot of standardized residuals
Correlations of top positions
2 May 1963LS 003988 3545
Filtered and Smoothed Estimates of Regime Probabilities
I are univariate dfs then I deﬁned in 192 is
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FIGURE 213 SACF of gwt0o from the MA1 model
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Modeling Financial Time Series with S-PLUS
Modeling Financial Time Series with S-PLUS is intended to function on two levels: first, as a user's guide to S+finmetrics, an advanced module of ...
Zivot Eric and Jiahui Wang, Modeling Financial Time Series with S-PLUS
DOI 10.1007/s10182-006-0013-y. BOOK REVIEW. Allgemeines Statistisches Archiv (2006) 90: 631–632. Zivot Eric and Jiahui Wang, Modeling Financial Time ...
www.springerlink.com/ index/ 83434H98R1818168.pdf
Errata for Modeling Financial Time Series with S-PLUS, Second Edition
Errata for Modeling Financial Time Series with. S-PLUS, Second Edition. Eric Zivot and Jiahui Wang. December 28, 2005. Updated: September 5, 2007 ...
faculty.washington.edu/ ezivot/ erratasecondedition.pdf
Modeling Financial Time Series with S-PLUS[R]. | Science ...
by Eric ZIVOT and Jiahui WANG, New York: Springer-Verlag, 2003, ISBN 0-387-95549-6, xix + 632 pp., $59.95 (softcover). One probably understands from the ...
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In the case of Modeling Financial Time Series with S-Plus, the question is probably less relevant, because this book also doubles as an introduction to an ...
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econpapers: Modeling Financial Time Series With S-PLUS. Eric Zivot ...
By mcneil AJ; Modeling Financial Time Series With S-PLUS. Eric Zivot and Jiahui Wang.
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ingentaconnect Modeling Financial Time Series With S-PLUS. Eric ...
Modeling Financial Time Series With S-PLUS. Eric Zivot and Jiahui Wang. Author: mcneil aj1. Source: Journal of the American Statistical Association, ...
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Stat 434 (J. Michael Steele) Financial Time Series, a Wharton ...
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Technometrics: Modeling Financial Time Series with S-PLUS[R]
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