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008 020527s2002 nyua b 001 0 eng d
010 _a 2001026955
011 _aBIB MATCHES WORLDCAT
020 _a0471411175
_qcloth (alk. paper)
020 _a9780471411178
_qcloth (alk. paper)
035 _a(DLC) 2001026955
035 _a(OCoLC)47181966
040 _aDLC
_beng
_erda
_dATU
042 _apcc
050 0 0 _aHA30.3
_b.C47 2002
082 0 0 _a332.015195
_221
100 1 _aChan, Ngai Hang,
_eauthor.
_91051063
245 1 0 _aTime series :
_bapplications to finance /
_cNgai Hang Chan.
264 1 _aNew York :
_bWiley-Interscience,
_c[2002]
264 4 _c©2002
300 _axiii, 203 pages :
_billustrations ;
_c24 cm.
336 _atext
_btxt
_2rdacontent
337 _aunmediated
_bn
_2rdamedia
338 _avolume
_bnc
_2rdacarrier
490 1 _aWiley series in probability and statistics
504 _aIncludes bibliographical references (pages 195-199) and index.
505 0 0 _g1.
_tIntroduction --
_g2.
_tProbability Models --
_g3.
_tAutoregressive Moving Average Models --
_g4.
_tEstimation in the Time Domain --
_g5.
_tExamples in SPLUS --
_g6.
_tForecasting --
_g7.
_tSpectral Analysis --
_g8.
_tNonstationarity --
_g9.
_tHeteroskedasticity --
_g10.
_tMultivariate Time Series --
_g11.
_tState Space Models --
_g12.
_tMultivariate GARCH --
_g13.
_tCointegrations and Common Trends.
520 1 _a"Time Series is designed to help readers grasp the conceptual underpinnings of time series modeling in order to gain a deeper understanding of the ever-changing dynamics of the financial world. It covers theory and application equally for readers from both financial and mathematical backgrounds." "The book offers succinct coverage of standard topics in statistical time series - such as forecasting and spectral analysis - in a manner that is both technical and conceptual. Recent developments in nonstandard time series techniques are discussed and illustrated in detail with real financial examples. These techniques include nonstationarity, heteroskedasticity; multivariate time series; state space modeling and stochastic volatility; multivariate GARCH; and cointegrations and common trends." "All examples are systematically illustrated with S-Plus and highlight the relevance of time series in financial applications. Detailed analyses and explanations for the S-Plus commands, as well as challenging end-of-chapter exercises, are also provided."--BOOK JACKET.
588 _aMachine converted from AACR2 source record.
650 0 _aTime-series analysis
_9325098
650 0 _aEconometrics.
_9345416
650 0 _aRisk management.
_9323444
830 0 _aWiley series in probability and statistics.
_9241467
856 4 2 _3Contributor biographical information
_uhttp://www.loc.gov/catdir/bios/wiley043/2001026955.html
907 _a.b10933372
_b10-06-19
_c27-10-15
942 _cB
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