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Wiley Series in Probability and Statistics Ser.: Time Series : Applications to Finance by Ngai Hang Chan (2002, Hardcover)
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About this product
Product Identifiers
PublisherWiley & Sons, Incorporated, John
ISBN-100471411175
ISBN-139780471411178
eBay Product ID (ePID)1891752
Product Key Features
Number of Pages224 Pages
LanguageEnglish
Publication NameTime Series : Applications to Finance
Publication Year2002
SubjectDecision-Making & Problem Solving, Probability & Statistics / Time Series, Econometrics
TypeTextbook
AuthorNgai Hang Chan
Subject AreaMathematics, Business & Economics
SeriesWiley Series in Probability and Statistics Ser.
FormatHardcover
Dimensions
Item Height0.6 in
Item Weight15.5 Oz
Item Length9.4 in
Item Width6.4 in
Additional Product Features
Intended AudienceScholarly & Professional
LCCN2001-026955
Dewey Edition21
Reviews"...polishes off all the usual topics in introductory time series analysis in a mere 89 pages..." ( Technometrics , Vol. 44, No. 4, November 2002) "...developed for a quick course...the goal is to balance theoretical background with examples of applications." ( Reference & Research Book News , August 2002) "...provides a gateway to higher things..." ( Short Book Reviews , December 2002) "...should be useful for students who are studying methods of time series analysis..." ( Mathematical Reviews , 2003e)
Series Volume Number456
IllustratedYes
Dewey Decimal332/.01/5195
Table Of ContentPreface. Introduction. Probability Models. Autoregressive Moving Average Models. Estimations in Time Domain. Examples in SPLUS. Forecasting. Spectral Analysis. Nonstationarity. Heteroskedasticity. Multivariate Time Series. State Space Models. Multivariate GARCH. Cointegrations and Common Trends. References.Index.
SynopsisElements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. Examples from finance are maximized as much as possible throughout the book. * Full set of exercises is displayed at the end of each chapter. * First seven chapters cover standard topics in time series at a high-intensity level. * Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail. * Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.
LC Classification NumberHA30.3.C47 2001
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