Modeling Financial Time Series with S-PLUS®

von: Eric Zivot, Jiahui Wang

Springer-Verlag, 2007

ISBN: 9780387323480 , 998 Seiten

2. Auflage

Format: PDF

Kopierschutz: Wasserzeichen

Windows PC,Mac OSX Apple iPad, Android Tablet PC's

Preis: 130,89 EUR

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Mehr zum Inhalt

Modeling Financial Time Series with S-PLUS®


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. 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. This edition covers S+FinMetrics 2.0 and includes new chapters.

Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics.

Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the '2000 Outstanding Scholars of the 21st Century' by International Biographical Centre.