Modeling financial time series with S-Plus /
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| Author / Creator: | Zivot, Eric. |
|---|---|
| Imprint: | New York : Springer, c2003. |
| Description: | xx, 632 p. : ill. ; 24 cm. |
| Language: | English |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/4807073 |
Table of Contents:
- 1. S and S-PLUS
- 2. Time Series Specification, Manipulation, and Visualization in S-PLUS
- 3. Time Series Concepts
- 4. Unit Root Tests
- 5. Modeling Extreme Values
- 6. Time Series Regression Modeling
- 7. Univariate GARCH Modeling
- 8. Long Memory Time Series Modeling
- 9. Rolling Analysis of Time Series
- 10. Systems of Regression Equations
- 11. Vector Autoregressive Models for Multivariate Time Series
- 12. Cointegration
- 13. Multivariate GARCH Modeling
- 14. State Space Models
- 15. Factor Models for Asset Returns
- 16. Term Structure of Interest Rates
- 17. Robust Change Detection.
