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Time Series: Applications to Finance

Опубликовано на портале: 30-07-2004
New York: John Wiley & Sons, 2002
Тематический раздел:
Financial Time Series study enables the prediction of financial trends and futures. This book represents the outcome of a refined and concise set of lecture notes, which balance theory and applications in time series, along financial domains. It affords the reader the opportunity to acquire knowledge of knowing the underpinnings of time series modeling in order to get a better understanding of the ever-changing dynamics of the financial world.

  • 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.
  • Ключевые слова

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    Nathaniel L. Beck, Jonathan N. Katz
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    Journal of Finance. 2003.  Vol. 58. No. 1. P. 609-641. 
    Jerry Hausman
    Econometrica. 1978.  Vol. 46. No. 6. P. 1251-1272. 
    William A. Brock, Blake LeBaron
    Review of Economics and Statistics. 1996.  Vol. 78. No. 1. P. 94-122.