Modeling financial time series with S-Plus
change-point detectioncointegrationextreme values distributionlong memory time seriesmultivariate GARCHrisk measurementvector autoregression model
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04) Economic time series analysis (91B84)
This book can be considered as a users guide for the StFinMetrics software. This software is an S-Plus module developed at the Insightful Corporation for the statistical analysis and modelling of financial time series. But the book can also be used as an introduction to the time series analysis which covers computational and interpretational aspects of the topics. A basic familiarity with S-Plus is needed for the reader. The authors consider such problems as testing for nonstationarity and cointegration; analysis of vector autoregressive and multivariate GARCH models; modelling of long memory time series (including fractional ARIMA and GARCH); time series regression modelling and systems of regression equations; state space models; factor models for asset returns; rolling analysis and change-point detection; modelling extreme values and risk measures. The book contains many examples of algorithms and S-Plus computational codes. Usage of algorithms and graphical tools is described with applications to real data.
- Near-integrated GARCH sequences
- Modelling long-range dependence and trends in duration series: an approach based on EFARIMA and ESEMIFAR models
- Dispatch planning using newsvendor dual problems and occupation times: application to hydropower
- Granger causality and path diagrams for multivariate time series
- scientific article; zbMATH DE number 5815924 (Why is no real title available?)
- Empirical analysis and forecasting of volatility dynamics in high-frequency returns with time-varying components
- scientific article; zbMATH DE number 1805572 (Why is no real title available?)
- Modeling Financial Time Series with S-PLUS®
- Econometric software development: past, present and future
- RATS handbook to accompany. Introductory econometrics for finance.
- Automated trading with boosting and expert weighting
- A GENERALIZED MULTISCALE ANALYSIS OF THE PREDICTIVE CONTENT OF EURODOLLAR IMPLIED VOLATILITIES
- StFinMetrics
- Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
- Statistical analysis of financial data in S-Plus.
- Modeling waves of extreme temperature: the changing tails of four cities
- A new approach to Value-at-Risk: GARCH-TSLx model with inference
- On testing for causality in variance between two multivariate time series
- Time Series Classification Based on Spectral Analysis
- Jump detection in high-frequency financial data using wavelets
- Time Series
- Product of bi-dimensional VAR(1) model components. An application to the cost of electricity load prediction errors
- Metalearning of time series: an approximate dynamic programming approach
- Linear and nonlinear causality in financial markets
- Book review of: E. Zivot and J. Wang, Modeling financial time series with S-PLUS.
- Testing Linearity for Network Autoregressive Models
- On estimation in conditional heteroskedastic time series models under non-normal distribu\-tions
- Distributional analysis of empirical volatility in GARCH processes
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