{"product_id":"time-series-9780470583623","title":"Time Series","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003e\u003cp\u003eA new edition of the comprehensive, hands-on guide to financial time series, now featuring S-Plus and R software\u003c\/p\u003e \u003cp\u003eTime 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.\u003c\/p\u003e \u003cp\u003eWith 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 und\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\"Both are on topics of intense interest among academicians and financial practitioners. Their 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)  \u003c\/p\u003e\u003cp\u003e \u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003eList of Figures.  \u003cp\u003eList of Tables.\u003c\/p\u003e \u003cp\u003ePreface.\u003c\/p\u003e \u003cp\u003ePreface to the First Edition.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Introduction.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Basic Description.\u003c\/p\u003e \u003cp\u003e1.2 Simple Descriptive Techniques.\u003c\/p\u003e \u003cp\u003e1.3 Transformations.\u003c\/p\u003e \u003cp\u003e1.4 Example.\u003c\/p\u003e \u003cp\u003e1.5 Conclusions.\u003c\/p\u003e \u003cp\u003e1.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Probability Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Introduction.\u003c\/p\u003e \u003cp\u003e2.2 Stochastic Processes.\u003c\/p\u003e \u003cp\u003e2.3 Examples.\u003c\/p\u003e \u003cp\u003e2.4 Sample Correlation Function.\u003c\/p\u003e \u003cp\u003e2.5 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Autoregressive Moving Average Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Introduction.\u003c\/p\u003e \u003cp\u003e3.2 Moving Average Models.\u003c\/p\u003e \u003cp\u003e3.3 Autoregressive Models.\u003c\/p\u003e \u003cp\u003e3.4 ARMA Models.\u003c\/p\u003e \u003cp\u003e3.5 ARIMA Models.\u003c\/p\u003e \u003cp\u003e3.6 Seasonal ARIMA.\u003c\/p\u003e \u003cp\u003e3.7 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Estimation in the Time Domain.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Introduction.\u003c\/p\u003e \u003cp\u003e4.2 Moment Estimators.\u003c\/p\u003e \u003cp\u003e4.3 Autoregressive Models.\u003c\/p\u003e \u003cp\u003e4.4 Moving Average Models.\u003c\/p\u003e \u003cp\u003e4.5 ARMA Models.\u003c\/p\u003e \u003cp\u003e4.6 Maximum Likelihood Estimates.\u003c\/p\u003e \u003cp\u003e4.7 Partial ACF.\u003c\/p\u003e \u003cp\u003e4.8 Order Selections.\u003c\/p\u003e \u003cp\u003e4.9 Residual Analysis.\u003c\/p\u003e \u003cp\u003e4.10 Model Building.\u003c\/p\u003e \u003cp\u003e4.11 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 Examples in \u003ci\u003eSPLUS\u003c\/i\u003e and \u003ci\u003eR\u003c\/i\u003e.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Introduction.\u003c\/p\u003e \u003cp\u003e5.2 Example 1.\u003c\/p\u003e \u003cp\u003e5.3 Example 2.\u003c\/p\u003e \u003cp\u003e5.4 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Forecasting.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Introduction.\u003c\/p\u003e \u003cp\u003e6.2 Simple Forecasts.\u003c\/p\u003e \u003cp\u003e6.3 Box and Jenkins Approach.\u003c\/p\u003e \u003cp\u003e6.4 Treasury Bill Example.\u003c\/p\u003e \u003cp\u003e6.5 Recursions.\u003c\/p\u003e \u003cp\u003e6.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Spectral Analysis.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Introduction.\u003c\/p\u003e \u003cp\u003e7.2 Spectral Representation Theorems.\u003c\/p\u003e \u003cp\u003e7.3 Periodogram.\u003c\/p\u003e \u003cp\u003e7.4 Smoothing of Periodogram.\u003c\/p\u003e \u003cp\u003e7.5 Conclusions.\u003c\/p\u003e \u003cp\u003e7.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Nonstationarity.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Introduction.\u003c\/p\u003e \u003cp\u003e8.2 Nonstationarity in Variance.\u003c\/p\u003e \u003cp\u003e8.3 Nonstationarity in Mean: Random Walk with Drift.\u003c\/p\u003e \u003cp\u003e8.4 Unit Root Test.\u003c\/p\u003e \u003cp\u003e8.5 Simulations.\u003c\/p\u003e \u003cp\u003e8.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Heteroskedasticity.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 Introduction.\u003c\/p\u003e \u003cp\u003e9.2 ARCH.\u003c\/p\u003e \u003cp\u003e9.3 GARCH.\u003c\/p\u003e \u003cp\u003e9.4 Estimation and Testing for ARCH.\u003c\/p\u003e \u003cp\u003e9.5 Example of Foreign Exchange Rates.\u003c\/p\u003e \u003cp\u003e9.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Multivariate Time Series.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Introduction.\u003c\/p\u003e \u003cp\u003e10.2 Estimation of μ and Γ.\u003c\/p\u003e \u003cp\u003e10.3 Multivariate ARMA Processes.\u003c\/p\u003e \u003cp\u003e10.4 Vector AR Models.\u003c\/p\u003e \u003cp\u003e10.5 Example of Inferences for VAR.\u003c\/p\u003e \u003cp\u003e10.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 State Space Models.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Introduction.\u003c\/p\u003e \u003cp\u003e11.2 State Space Representation.\u003c\/p\u003e \u003cp\u003e11.3 Kalman Recursions.\u003c\/p\u003e \u003cp\u003e11.4 Stochastic Volatility Models.\u003c\/p\u003e \u003cp\u003e11.5 Example of Kalman Filtering of Term Structure.\u003c\/p\u003e \u003cp\u003e11.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Multivariate GARCH.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Introduction.\u003c\/p\u003e \u003cp\u003e12.2 General Model.\u003c\/p\u003e \u003cp\u003e12.3 Quadratic Form.\u003c\/p\u003e \u003cp\u003e12.4 Example of Foreign Exchange Rates.\u003c\/p\u003e \u003cp\u003e12.5 Conclusions.\u003c\/p\u003e \u003cp\u003e12.6 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e13 Cointegrations and Common Trends.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e13.1 Introduction.\u003c\/p\u003e \u003cp\u003e13.2 Definitions and Examples.\u003c\/p\u003e \u003cp\u003e13.3 Error Correction Form.\u003c\/p\u003e \u003cp\u003e13.4 Granger’s Representation Theorem.\u003c\/p\u003e \u003cp\u003e13.5 Structure of Cointegrated Systems.\u003c\/p\u003e \u003cp\u003e13.6 Statistical Inference for Cointegrated Systems.\u003c\/p\u003e \u003cp\u003e13.7 Example of Spot Index and Futures.\u003c\/p\u003e \u003cp\u003e13.8 Conclusions.\u003c\/p\u003e \u003cp\u003e13.9 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e14 Markov Chain Monte Carlo Methods.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e14.1 Introduction.\u003c\/p\u003e \u003cp\u003e14.2 Bayesian Inference.\u003c\/p\u003e \u003cp\u003e14.3 Markov Chain Monte Carlo.\u003c\/p\u003e \u003cp\u003e14.4 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e15 Statistical Arbitrage.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e15.1 Introduction.\u003c\/p\u003e \u003cp\u003e15.2 Pairs Trading.\u003c\/p\u003e \u003cp\u003e15.3 Cointegration.\u003c\/p\u003e \u003cp\u003e15.4 Simple Pairs Trading.\u003c\/p\u003e \u003cp\u003e15.5 Cointegrations and Pairs Trading.\u003c\/p\u003e \u003cp\u003e15.6 Hang Seng Index Components Example.\u003c\/p\u003e \u003cp\u003e15.7 Exercises.\u003c\/p\u003e \u003cp\u003e\u003cb\u003e16 Answers to Selected Exercises.\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e16.1 Chapter 1.\u003c\/p\u003e \u003cp\u003e16.2 Chapter 2.\u003c\/p\u003e \u003cp\u003e16.3 Chapter 3.\u003c\/p\u003e \u003cp\u003e16.4 Chapter 4.\u003c\/p\u003e \u003cp\u003e16.5 Chapter 5.\u003c\/p\u003e \u003cp\u003e16.6 Chapter 6.\u003c\/p\u003e \u003cp\u003e16.7 Chapter 7.\u003c\/p\u003e \u003cp\u003e16.8 Chapter 8.\u003c\/p\u003e \u003cp\u003e16.9 Chapter 9.\u003c\/p\u003e \u003cp\u003e16.10 Chapter 10.\u003c\/p\u003e \u003cp\u003e16.11 Chapter 11.\u003c\/p\u003e \u003cp\u003e16.12 Chapter 12.\u003c\/p\u003e \u003cp\u003e16.13 Chapter 13.\u003c\/p\u003e \u003cp\u003e16.14 Chapter 14.\u003c\/p\u003e \u003cp\u003e16.15 Chapter 15.\u003c\/p\u003e \u003cp\u003eReferences.\u003c\/p\u003e \u003cp\u003eSubject Index.\u003c\/p\u003e \u003cp\u003eAuthor Index.\u003c\/p\u003e","brand":"Wiley","offers":[{"title":"Default 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