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

0 avg rating
( 0 ratings by Goodreads )
 
9780470583623: Time Series: Applications to Finance with R and S-Plus

A new edition of the comprehensive, hands-on guide to financial time 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 to the conceptual underpinnings and modern ideas of time series analysis. Utilizing interesting, real-world applications and the latest software packages, this book successfully helps readers grasp the technical and conceptual manner of the topic in order to gain a deeper understanding of the ever-changing dynamics of the financial world.

With balanced coverage of both theory and applications, this Second Edition includes new content to accurately reflect the current state-of-the-art nature of financial time series analysis. A new chapter on Markov Chain Monte Carlo presents Bayesian methods for time series with coverage of Metropolis-Hastings algorithm, Gibbs sampling, and a case study that explores the relevance of these techniques for understanding activity in the Dow Jones Industrial Average. The author also supplies a new presentation of statistical arbitrage that includes discussion of pairs trading and cointegration. In addition to standard topics such as forecasting and spectral analysis, real-world financial examples are used to illustrate 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 to grasp the important ideas of time series. All examples are systematically illustrated with S-Plus® and R software, highlighting the relevance of time series in financial applications. End-of-chapter exercises and selected solutions allow readers to test their comprehension of the presented material, and a related Web site features additional data sets.

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

"synopsis" may belong to another edition of this title.

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 and financial practitioners. Their inclusoin makes the book more up-to-date and hopefully entertains a broader spectrum of readers. Upon many requests from users of the first edition, a new chapter on solutions to selected exercises has also been prepared so as to make the book more accessible to instructors and students alike." (Mathematical Reviews, 2011)

 

"About this title" may belong to another edition of this title.

Top Search Results from the AbeBooks Marketplace

1.

Chan, Ngai Hang
Published by Wiley (2010)
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Hardcover Quantity Available: 2
Seller:
Murray Media
(North Miami Beach, FL, U.S.A.)
Rating
[?]

Book Description Wiley, 2010. Hardcover. Book Condition: New. Never used!. Bookseller Inventory # P110470583622

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 59.92
Convert Currency

Add to Basket

Shipping: US$ 1.99
Within U.S.A.
Destination, Rates & Speeds

2.

Chan, Ngai Hang
Published by Wiley
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Hardcover Quantity Available: 1
Seller:
Cloud 9 Books
(Wellington, FL, U.S.A.)
Rating
[?]

Book Description Wiley. Hardcover. Book Condition: New. 0470583622 New Condition. Bookseller Inventory # NEW7.1109410

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 59.99
Convert Currency

Add to Basket

Shipping: US$ 4.99
Within U.S.A.
Destination, Rates & Speeds

3.

Ngai Hang Chan
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Hardcover Quantity Available: 5
Seller:
LINDABOOK
(Taipei, TP, Taiwan)
Rating
[?]

Book Description Hardcover. Book Condition: New. Ship out 1-2 business day,Brand new,US edition, Free tracking number usually 2-4 biz days delivery to worldwide Same shipping fee with US, Canada,Europe country, Australia, item will ship out from either USA or Asia,h. Bookseller Inventory # ABE-5612447722

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 73.88
Convert Currency

Add to Basket

Shipping: US$ 9.90
From Taiwan to U.S.A.
Destination, Rates & Speeds

4.

Ngai Hang Chan
Published by Wiley (2010)
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Hardcover Quantity Available: 1
Seller:
Ergodebooks
(RICHMOND, TX, U.S.A.)
Rating
[?]

Book Description Wiley, 2010. Hardcover. Book Condition: New. 2. Bookseller Inventory # DADAX0470583622

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 83.56
Convert Currency

Add to Basket

Shipping: US$ 3.99
Within U.S.A.
Destination, Rates & Speeds

5.

Ngai Hang Chan
Published by Wiley (2010)
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Hardcover Quantity Available: 1
Seller:
Irish Booksellers
(Rumford, ME, U.S.A.)
Rating
[?]

Book Description Wiley, 2010. Hardcover. Book Condition: New. book. Bookseller Inventory # M0470583622

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 89.19
Convert Currency

Add to Basket

Shipping: FREE
Within U.S.A.
Destination, Rates & Speeds

6.

Ngai Hang Chan (Chinese Univ. of Hong Kong)
Published by John Wiley and Sons
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Quantity Available: > 20
Seller:
INDOO
(Avenel, NJ, U.S.A.)
Rating
[?]

Book Description John Wiley and Sons. Book Condition: New. Brand New. Bookseller Inventory # 0470583622

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 113.31
Convert Currency

Add to Basket

Shipping: US$ 3.50
Within U.S.A.
Destination, Rates & Speeds

7.

Ngai Hang Chan
Published by John Wiley and Sons Ltd, United States (2010)
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Hardcover Quantity Available: 1
Seller:
The Book Depository US
(London, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd, United States, 2010. Hardback. Book Condition: New. 2nd Edition. Language: English . Brand New Book. This book is designed to help readers grasp the conceptual underpinnings of time series modeling in order to gain a deeper understanding of the ever-changing dynamics of the financial world. It covers theory and application equally for readers from both financial and mathematical backgrounds. The book offers succinct coverage of standard topics in statistical time series such as forecasting and spectral analysis in a manner that is both technical and conceptual. An author website provides instructor notations and additional software subroutines, as well as complete solutions to the exercises in the text. Bookseller Inventory # AAH9780470583623

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 123.30
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

8.

Ngai Hang Chan
Published by John Wiley and Sons Ltd, United States (2010)
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Hardcover Quantity Available: 1
Seller:
The Book Depository
(London, United Kingdom)
Rating
[?]

Book Description John Wiley and Sons Ltd, United States, 2010. Hardback. Book Condition: New. 2nd Edition. Language: English . Brand New Book. This book is designed to help readers grasp the conceptual underpinnings of time series modeling in order to gain a deeper understanding of the ever-changing dynamics of the financial world. It covers theory and application equally for readers from both financial and mathematical backgrounds. The book offers succinct coverage of standard topics in statistical time series such as forecasting and spectral analysis in a manner that is both technical and conceptual. An author website provides instructor notations and additional software subroutines, as well as complete solutions to the exercises in the text. Bookseller Inventory # AAH9780470583623

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 126.07
Convert Currency

Add to Basket

Shipping: FREE
From United Kingdom to U.S.A.
Destination, Rates & Speeds

9.

Chan, Ngai Hang
Published by Wileyand#8211;Blackwell (2010)
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Quantity Available: 2
Seller:
Books2Anywhere
(Fairford, GLOS, United Kingdom)
Rating
[?]

Book Description Wileyand#8211;Blackwell, 2010. HRD. Book Condition: New. New Book. Shipped from UK in 4 to 14 days. Established seller since 2000. Bookseller Inventory # FW-9780470583623

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 116.39
Convert Currency

Add to Basket

Shipping: US$ 11.87
From United Kingdom to U.S.A.
Destination, Rates & Speeds

10.

Ngai Hang Chan
Published by Wiley 2010-10-22, Oxford (2010)
ISBN 10: 0470583622 ISBN 13: 9780470583623
New Quantity Available: 1
Seller:
Blackwell's
(Oxford, OX, United Kingdom)
Rating
[?]

Book Description Wiley 2010-10-22, Oxford, 2010. Book Condition: New. Bookseller Inventory # 9780470583623

More Information About This Seller | Ask Bookseller a Question

Buy New
US$ 131.44
Convert Currency

Add to Basket

Shipping: US$ 7.91
From United Kingdom to U.S.A.
Destination, Rates & Speeds

There are more copies of this book

View all search results for this book