Statistical analysis of financial data in R

DOI10.1007/978-1-4614-8788-3MaRDI QIDQ2849599zbMATH OpenOpenAlexFDO

Authors René Carmona

Publication date 20 September 2013

Published in Springer Texts in Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4614-8788-3

zbMATH Keywords

financial data modelingR environmentregression analysis, multivariate kernel regressiontime series analysis

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Software, source code, etc. for problems pertaining to statistics (62-04) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Economic time series analysis (91B84) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)

Recommendations

• scientific article; zbMATH DE number 2104240
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Cited in

(12)

• Complementarity of information obtained by Kolmogorov and Aksentijevic-Gibson complexities in the analysis of binary time series
• A model-free, non-parametric method for density determination, with application to asset returns
• Quantile regression for cross-sectional and time series data. Applications in energy markets using R
• Financial risk modelling and portfolio optimization with R
• An introduction to analysis of financial data with R.
• R as a tool in computational finance
• Nonparametric finance
• scientific article; zbMATH DE number 2104240 (Why is no real title available?)
• Statistical modeling using local Gaussian approximation
• Statistical analysis of financial data. With examples in R
• Statistics and Data Analysis for Financial Engineering
• Online Portfolio Optimization with Risk Control

Describes a project that uses

Uses Software

• R
• S-PLUS
• EVANESCE

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