Modeling Financial Time Series with S-Plus - Softcover

Zivot, Eric; Wang, Jiahui

Softcover

ISBN 10: 0387955496 ISBN 13: 9780387955490

Publisher: Springer-Verlag New York Inc., 2002

Synopsis

The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department at the University of Washington, and is co-director of the nascent Professional Master's Program in Computational Finance. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of the Journal of Business and Economic Statistics and Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is a Research Scientist at Insightful Corporation. He received a Ph.D. in Economics from the university of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

About this title

Review

"Certainly this book is far more than a software manual to S+FinMetrics and I believe it deserves to be read widely by people with an academic or professional interest in the analysis of financial time seriesa ]I consider Modeling Financial Time Series with S-PLUS one of the most useful additions to my bookshelf in recent years." Journal of the American Statistical Association, June 2004 "With Modeling Financial Time Series with S-PLUS, Zivot and Wang deliver an impressive tour de force covering many relevant topics in modern financial econometrics. As the table of contents outlines, the bookincludes anything from modern time series methods to recent advances in risk management, multivariate data analysis as applied to portfolio management, yiled-curve modeling to two detailed chapters on the already classic unvariate and multivariate GARCH-type volatitlity models. The topics are genereally introduced in a succint manner with brief formal discussions complemented by

About the Author

Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics.

Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.

Edition details

• Publisher: Springer-Verlag New York Inc.
• Publication date: 2002
• Language: English
• ISBN 10: 0387955496
• ISBN 13: 9780387955490
• Binding: Paperback
• Edition number: 2
• Number of pages: 651