Time Series: Applications to Finance with R and S-Plus

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9780470583623: Time Series: Applications to Finance with R and S-Plus
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A new edition of the comprehensive, hands-on guide to financialtime series, now featuring S-Plus® and R software

Time Series: Applications to Finance with R and S-Plus®,Second Edition is designed to present an in-depth introduction tothe conceptual underpinnings and modern ideas of time seriesanalysis. Utilizing interesting, real-world applications and thelatest software packages, this book successfully helps readersgrasp the technical and conceptual manner of the topic in order togain a deeper understanding of the ever-changing dynamics of thefinancial world.

With balanced coverage of both theory and applications, thisSecond Edition includes new content to accurately reflect thecurrent state-of-the-art nature of financial time series analysis.A new chapter on Markov Chain Monte Carlo presents Bayesian methodsfor time series with coverage of Metropolis-Hastings algorithm,Gibbs sampling, and a case study that explores the relevance ofthese techniques for understanding activity in the Dow JonesIndustrial Average. The author also supplies a new presentation ofstatistical arbitrage that includes discussion of pairs trading andcointegration. In addition to standard topics such as forecastingand spectral analysis, real-world financial examples are used toillustrate recent developments in nonstandard techniques,including:

  • Nonstationarity
  • Heteroscedasticity
  • Multivariate time series
  • State space modeling and stochastic volatility
  • Multivariate GARCH
  • Cointegration and common trends

The book's succinct and focused organization allows readers tograsp the important ideas of time series. All examples aresystematically illustrated with S-Plus® and R software,highlighting the relevance of time series in financialapplications. End-of-chapter exercises and selected solutions allowreaders to test their comprehension of the presented material, anda related Web site features additional data sets.

Time Series: Applications to Finance with R and S-Plus® isan excellent book for courses on financial time series at theupper-undergraduate and beginning graduate levels. It also servesas an indispensible resource for practitioners working withfinancial data in the fields of statistics, economics, business,and risk management.

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About the Author:

NGAI HANG CHAN, PhD, is Head and Chair Professor of Statistics at the Chinese University of Hong Kong. He has published extensively in the areas of time series, statistical finance, econometrics, risk management, and stochastic processes. A Fellow of the Institute of Mathematical Statistics and the American Statistical Association, Dr. Chan is the coauthor of Simulation Techniques in Financial Risk Management, also published by Wiley.

Review:

"Both are on topics of intense interest among academicians andfinancial practitioners. Their inclusoin makes the book moreup-to-date and hopefully entertains a broader spectrum of readers.Upon many requests from users of the first edition, a new chapteron solutions to selected exercises has also been prepared so as tomake the book more accessible to instructors and students alike."(Mathematical Reviews, 2011)

 

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