Time Series by Ngai Hang Chan

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Time Series by Ngai Hang Chan

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Regular price $4.74
Condition - Very Good
1 In stock
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Summary

* The author is well known for his clear, concise, and authentic presentation. * Two new chapters now appear on Bayesian methods and arbitrage statistics. * Special emphasis is placed on applications from around the world, including, but not limited to, Asia; China; and Europe.

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Time Series by Ngai Hang Chan

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 trends The 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.
"Both are on topics of intense interest among academicians and financial practitionersTheir inclusoin makes the book more up-to-date and hopefully entertains a broader spectrum of readers. Upon many requests from users of the first edition, a new chapter on solutions to selected exercises has also been prepared so as to make the book more accessible to instructors and students alike." (Mathematical Reviews, 2011)

 

NGAI HANG CHAN, PhD, is Head and Chair Professor of Statistics at the Chinese University of Hong Kong. He has published extensively in the areas of time series, statistical finance, econometrics, risk management, and stochastic processes. A Fellow of the Institute of Mathematical Statistics and the American Statistical Association, Dr. Chan is the coauthor of Simulation Techniques in Financial Risk Management, also published by Wiley.

SKU CIN0470583622VG
ISBN 13 9780470583623
ISBN 10 0470583622
Title Time Series
Author Ngai Hang Chan
Condition Very Good
Publisher John Wiley & Sons Inc
Year published 2010-10-22
Number of pages 336
Cover note Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
Note This is a used book - there is no escaping the fact it has been read by someone else and it will show signs of wear and previous use. Overall we expect it to be in very good condition, but if you are not entirely satisfied please get in touch with us