(Ebook) Time Series: Applications to Finance with R and S-Plus, Second Edition by Ngai Hang Chan(auth.) ISBN 9780470583623, 9781118032466, 0470583622, 1118032462

(Ebook) Time Series: Applications to Finance with R and S-Plus, Second Edition by Ngai Hang Chan(auth.) ISBN 9780470583623, 9781118032466, 0470583622, 1118032462

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.Content:
Chapter 1 Introduction (pages 1–14):
Chapter 2 Probability Models (pages 15–21):
Chapter 3 Autoregressive Moving Average Models (pages 23–37):
Chapter 4 Estimation in the Time Domain (pages 39–57):
Chapter 5 Examples in Splus and R (pages 59–69):
Chapter 6 Forecasting (pages 71–81):
Chapter 7 Spectral Analysis (pages 83–95):
Chapter 8 Nonstationarity (pages 97–103):
Chapter 9 Heteroskedasticity (pages 105–122):
Chapter 10 Multivariate Time Series (pages 123–141):
Chapter 11 State Space Models (pages 143–158):
Chapter 12 Multivariate GARCH (pages 159–178):
Chapter 13 Cointegrations and Common Trends (pages 179–200):
Chapter 14 Markov Chain Monte Carlo Methods (pages 201–222):
Chapter 15 Statistical Arbitrage (pages 223–238):
Chapter 16 Answers to Selected Exercises (pages 239–281):