Chan N.H. Time Series: Applications to Finance with R and S-Plus

Publisher: Wiley2010ISBN10: 0470583622316 p.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 trendsThe 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.