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
FIGURE 149 Smoothed estimates of at and j3t from CAPM
TANDY TEXACO WEYER
USUK 30day interest rate differential
SP 500 negative returns
normal PDF when ?2 the density has thicker tails than
Beran J Feng Y and Ocker D 1999 SEMIFAR Models
FIGURE 1111 Autocorrelations and cross correlations at leads and lags
FIGURE 122 Simulated bivariate cointegrated system with 3 1
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FIGURE 134 QQplot of standardized residuals
Correlations of top positions
2 May 1963LS 003988 3545
Filtered and Smoothed Estimates of Regime Probabilities
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FIGURE 209 Simulated solutions from 2017 based on Eulers method
FIGURE 213 SACF of gwt0o from the MA1 model
Simulated returns from SNP model
Estimation in Conditionally Heteroscedastic Time Series Models
Limited preview - 2005
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 ...
Required Text. Modeling Financial Time Series with S-Plus by Eric Zivot and Jiahui Wang 2nd Ed. Springer 2005. Recommended Texts (Not Required) ...
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Technometrics: Modeling Financial Time Series with S-PLUS[R]
Modeling Financial Time Series with S-PLUS[R]. by Eric ZIVOT and Jiahui WANG, New York: Springer-Verlag, 2003, ISBN 0-387-95549-6, xix + 632 pp., ...
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