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Modeling Financial Time Series with S-Plus(r) de Eric Zivot

Modeling Financial Time Series with S-Plus(r)

Autor Eric Zivot, Jiahui Wang
en Limba Engleză Paperback – 8 dec 2005

Suntem de părere că rigoarea analizei financiare depinde direct de instrumentele tehnice utilizate, iar acest volum oferă arsenalul complet pentru orice cercetător: cadre de lucru pentru testarea rădăcinii unitare, șabloane pentru modelarea GARCH și checklist-uri pentru detectarea robustă a schimbărilor în date. Considerăm că forța acestei lucrări rezidă în integrarea perfectă între teoria econometrică și modulul S+FinMetrics, transformând conceptele abstracte în fluxuri de lucru aplicabile. Subliniem progresia logică a conținutului, care pornește de la manipularea și vizualizarea seriilor de timp în S-PLUS și avansează spre complexități precum modelele de spațiu de stare, copule și metoda momentelor eficiente. Dacă Financial Econometrics de Peijie Wang v-a oferit cadrul teoretic necesar înțelegerii disciplinei, această carte oferă instrumentele practice și codul necesar pentru execuție. Spre deosebire de alte manuale, aici accentul cade pe implementarea empirică, oferind soluții pentru problemele de 'heavy tail' și structura termenului ratelor dobânzii. Structura celor 998 de pagini indică o acoperire exhaustivă, fiind un ghid de referință pentru analiza seriilor de timp multivariante prin modele vectoriale autoregresive (VAR) și cointegrare. Credem că ediția a doua aduce un plus de valoare indispensabil prin capitolele noi dedicate modelelor în timp continuu, esențiale pentru ingineria financiară modernă. Este o resursă orientată spre rezultate, unde fiecare metodă statistică este dublată de exemplificarea sa în mediul software S-PLUS.

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Specificații

ISBN-13: 9780387279657
ISBN-10: 0387279652
Pagini: 998
Ilustrații: XXII, 998 p. 270 illus.
Dimensiuni: 170 x 233 x 46 mm
Greutate: 1.4 kg
Ediția:2nd 2005. Corr. 2nd Printing 2006 edition
Editura: Springer
Locul publicării:New York, NY, United States

Public țintă

Research

De ce să citești această carte

Recomandăm această carte cercetătorilor și practicienilor din industria financiară care doresc să stăpânească modelarea econometrică avansată. Veți câștiga capacitatea de a implementa modele complexe, de la GARCH la GMM, utilizând software-ul S-PLUS. Este instrumentul esențial pentru a trece de la teorie la analiza de date reală, oferind precizia necesară în prognoza și gestionarea riscului pe piețele financiare actuale.

Despre autor

Eric Zivot este profesor asociat și cercetător distins Gary Waterman în cadrul Departamentului de Economie al Universității din Washington. Cu o experiență vastă în predarea econometriei financiare și a seriilor de timp, Zivot a fost recompensat cu premiul Henry T. Buechel pentru excelență în educație. Expertiza sa este recunoscută la nivel internațional prin funcția de editor asociat pentru publicații de prestigiu precum Studies in Nonlinear Dynamics and Econometrics, având numeroase studii publicate în Econometrica și Journal of Business and Economic Statistics.

Descriere scurtă

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)

Cuprins

S and S-PLUS.- Time Series Specification, Manipulation, and Visualization in S-PLUS.- Time Series Concepts.- Unit Root Tests.- Modeling Extreme Values.- Time Series Regression Modeling.- Univariate GARCH Modeling.- Long Memory Time Series Modeling.- Rolling Analysis of Time Series.- Systems of Regression Equations.- Vector Autoregressive Models for Multivariate Time Series.- Cointegration.- Multivariate GARCH Modeling.- State Space Models.- Factor Models for Asset Returns.- Term Structure of Interest Rates.- Robust Change Detection.- Nonlinear Time Series Models.- Copulas.- Continuous-Time Models for Financial Time Series.- Generalized Method of Moments.- Seminonparametric Conditional Density Models.- Effcient Method of Moments.

Recenzii

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)
"This book has a double function. First, it serves as a guide to models and estimation methods for extracting information from financial time series, and second, as a user's guide for Insightful's S+FinMetrics package. That makes it interesting for mainly two communities of readers: the academic community in econometrics, statistics and finance, and the pracitioners in the finance industry. ...In summary this book is excellent to learn key methods and corresponding S+FinMetrics functions to analyze financial time series." (Valerie Chavez-Dumoulin for Journal of Statistical Software, Vol. 17, February 2007)
"This is the second edition of the book devoted to a new 2.0 version of S+FinMetrix module of statistical functions for financial time series analysis and financial econometrics. It can be used as the users guide for S+FinMetrix and as a general reference for financial statistics on S-Plus. The book covers a variety of topics in statistical analysis and visualization of time series … ." (R. E. Maiboroda, Zentralblatt MATH, Vol. 1092 (18), 2006)
"Analyzing financial time series has been enjoying increasing popularity over the last decade. … The book under review covers many of these different theories and methods. … The intended audience comprises both researchers and practitioners in the finance industry, academic researchers in financial econometrics, but also advanced andgraduate students. … As almost every relevant topic from financial econometrics is under consideration, this book is a must for every person with empirical interest who has decided to use S, S-PLUS and S+FinMetrics as underlying platform." (Matthias Fischer, Allgemeines Statistisches Archiv, Vol. 90, 2006)
"This book is a guide on how to analyze and model financial time series data using S-PLUS and S-FinMetrics. … The book is aimed for a wide audience of workers in the areas of empirical finance … and many researchers in economics and finance, marketing, and even management. This publication can also be an important tool for graduate students in the areas of statistics, economics, finance, and operations research. … In conclusion … a much needed book on financial time series … ." (Stergios B. Fotopoulos, Technometrics, Vol. 49 (3), August, 2007)
"This second edition is a compilation of methods for analyzing financial time series using S-PLUS and the S-PLUS module S+FinMetrics. … The sheer number of time series topics covered by the book is impressive … . if you are a knowledgeable reader looking for a brief exposition of many common and current results, along with illuminating applications and illustrations with S-PLUS and S+FinMetrics, you will be pleased." (Jane L. Harvill, Sky & Telescope, November, 2007)

Textul de pe ultima copertă

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.
Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics.
Jiahui Wang is a Principal and Trading Research Officer at Barclays Global Investors. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

Caracteristici

The second edition of a popular Springer book Includes supplementary material: sn.pub/extras