Modeling Financial Time Series with S-PLUS®
From MaRDI portal
Publication:3377019
DOI10.1007/978-0-387-32348-0zbMATH Open1092.91067OpenAlexW4254055408MaRDI QIDQ3377019FDOQ3377019
Authors: Eric Zivot, Jiahui Wang 
Publication date: 20 March 2006
Full work available at URL: https://doi.org/10.1007/978-0-387-32348-0
Recommendations
- scientific article; zbMATH DE number 1821192
- scientific article; zbMATH DE number 2104240
- scientific article; zbMATH DE number 1805572
- Statistics of financial markets. An introduction.
- Time Series
- Financial econometrics. From basics to advanced modeling techniques.
- scientific article; zbMATH DE number 857935
- Statistical models and methods for financial markets
- scientific article; zbMATH DE number 1827068
- scientific article; zbMATH DE number 1987697
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
Cited In (41)
- Multiscale statistical behaviors for Ising financial dynamics with continuum percolation jump
- Asymptotic quasi-likelihood based on kernel smoothing for multivariate heteroskedastic models with correlation
- Time series interpolation via global optimization of moments fitting
- COPAR -- multivariate time series modeling using the copula autoregressive model
- Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes
- Dynamic principal component regression for forecasting functional time series in a group structure
- Interpreting self-organizing maps through space-time data models
- Title not available (Why is that?)
- Time Series
- The relationship between the Beveridge-Nelson decomposition and other permanent-transitory decompositions that are popular in economics
- Grouped multivariate and functional time series forecasting: an application to annuity pricing
- Seasonal adjustment of an aggregate series using univariate and multivariate basic structural models
- Slope influence diagnostics in conditional heteroscedastic time series models
- Book review of: E. Zivot and J. Wang, Modeling financial time series with S-PLUS.
- Generalized moment estimation of stochastic differential equations
- Multiscale multifractal DCCA and complexity behaviors of return intervals for Potts price model
- A New Class of Change Point Test Statistics of Rényi Type
- Financial Econometrics
- Constrained smoothing \(B\)-splines for the term structure of interest rates
- Title not available (Why is that?)
- Using multiple time series analysis for geosensor data forecasting
- A test for normality and independence based on characteristic function
- A highly efficient algorithm for solving exclusive lasso problems
- Multi-population modelling and forecasting life-table death counts
- Analysis of telecom service operation behavior with time series
- Random Forest Variable Selection for Sparse Vector Autoregressive Models
- Nonlinear multi-analysis of agent-based financial market dynamics by epidemic system
- Stochastic Filtering Methods in Electronic Trading
- Time-varying forecasts by variational approximation of sequential Bayesian inference
- Estimation and testing linearity for non-linear mixed Poisson autoregressions
- Numerical analysis for finite-range multitype stochastic contact financial market dynamic systems
- Dynamic relationship analysis between NAFTA stock markets using nonlinear, nonparametric, non-stationary methods
- Feature extraction for functional time series: theory and application to NIR spectroscopy data
- Economic fluctuations and fiscal policy in Europe: a political business cycles approach using panel data and clustering (1996--2013)
- The ARMA alphabet soup: a tour of ARMA model variants
- RATS handbook to accompany. Introductory econometrics for finance.
- Discussion: Statistical models and methods for dependence in insurance data
- A two-phase approach to estimating time-varying parameters in the capital asset pricing model
- Modeling mortality with a Bayesian vector autoregression
- A wavelet-based variance ratio unit root test for a system of equations
- Influential nodes and anomalous topic activities in social networks using multivariate time series and topic modeling
Uses Software
This page was built for publication: Modeling Financial Time Series with S-PLUS®
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3377019)
