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Modeling Financial Time Series with S-Plus(r)
Paperback
Business GeneralInvesting & FinanceProbability & Statistics
ISBN13: 9780387279657
Publisher: Springer Nature
Published: Dec 8 2005
Pages: 998
Weight: 3.05
Height: 1.76 Width: 6.00 Depth: 9.20
Language: English
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. It is the first book to show the power of S-PLUS for the analysis of time series data. 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. The book 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.
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