Time Series: Applications to Finance
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More About This Title Time Series: Applications to Finance
English
NGAI HANG CHAN, PhD, is Professor of Statistics and Director of the Risk Management Science Program at the Chinese University of Hong Kong and Professor of Statistics at Carnegie Mellon University.
English
Preface.
Introduction.
Probability Models.
Autoregressive Moving Average Models.
Estimations in Time Domain.
Examples in SPLUS.
Forecasting.
Spectral Analysis.
Nonstationarity.
Heteroskedasticity.
Multivariate Time Series.
State Space Models.
Multivariate GARCH.
Cointegrations and Common Trends.
References.
Index.
Introduction.
Probability Models.
Autoregressive Moving Average Models.
Estimations in Time Domain.
Examples in SPLUS.
Forecasting.
Spectral Analysis.
Nonstationarity.
Heteroskedasticity.
Multivariate Time Series.
State Space Models.
Multivariate GARCH.
Cointegrations and Common Trends.
References.
Index.
English
"...polishes off all the usual topics in introductory time series analysis in a mere 89 pages..." (Technometrics, Vol. 44, No. 4, November 2002)
"...developed for a quick course...the goal is to balance theoretical background with examples of applications." (Reference & Research Book News, August 2002)
"...provides a gateway to higher things..." (Short Book Reviews, December 2002)
"...should be useful for students who are studying methods of time series analysis..." (Mathematical Reviews, 2003e)
