Modeling Financial Time Series With S-plus
by Eric Zivot /
2003 / English / PDF
5.6 MB Download
The field of financial econometrics has exploded over the last
decade 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. Eric Zivot is an associate professor and Gary
Waterman Distinguished Scholar in the Economics Department at the
University of Washington, and is co-director of the nascent
Professional Master's Program in Computational Finance. 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 the Journal of Business and Economic Statistics
and 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 a Research Scientist at
Insightful Corporation. 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.
The field of financial econometrics has exploded over the last
decade 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. Eric Zivot is an associate professor and Gary
Waterman Distinguished Scholar in the Economics Department at the
University of Washington, and is co-director of the nascent
Professional Master's Program in Computational Finance. 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 the Journal of Business and Economic Statistics
and 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 a Research Scientist at
Insightful Corporation. 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.
