Modeling financial time series with S-plus /

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Bibliographic Details
Author / Creator:Zivot, Eric.
Edition:2nd ed.
Imprint:New York, NY : Springer, c2006.
Description:1 online resource (xxii, 998 p.) : ill. cm.
Language:English
Series:International Federation for Information Processing (Series) ; 191.
Subject:S-Plus.
S-PLUS.
S-Plus.
Finance -- Mathematical models.
Time-series analysis.
Finance -- Econometric models.
Finances -- Modèles mathématiques.
Série chronologique.
Finances -- Modèles économétriques.
BUSINESS & ECONOMICS -- Finance.
Finance -- Econometric models.
Finance -- Mathematical models.
Time-series analysis.
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/8877501
Hidden Bibliographic Details
Other authors / contributors:Wang, Jiahui.
ISBN:9780387279657
0387279652
0387323481 (electronic bk.)
9780387323480 (electronic bk.)
9786610189823
661018982X
0387955496 (Paper)
9780387955490 (Paper)
0387217630 (e-ISBN)
9780387217635 (e-ISBN)
Notes:Includes bibliographical references and index.
Summary:"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. This is the first book to show the power of S-PLUS for the analysis of time series data. It 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."--Jacket.
Other form:Print version: Zivot, Eric. Modeling financial time series with S-plus. 2nd ed. New York, NY : Springer, c2006 0387279652 0387217630
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250 |a 2nd ed. 
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300 |a 1 online resource (xxii, 998 p.) :  |b ill. cm. 
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504 |a Includes bibliographical references and index. 
520 1 |a "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. This is the first book to show the power of S-PLUS for the analysis of time series data. It 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."--Jacket. 
505 0 |a Preliminaries; Preface; 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. 
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