Statistical analysis of financial data in S-Plus.
This is an excellent text, written by a well known expert in the field, dealing with statistical analysis of financial data. It will be a close competitor with another excellent book [\textit{E. Zivot} and \textit{J. Wang}, Modelling financial time series with S-Plus. (2003; Zbl 1038.91071)], which covers 17 chapters, against 7 of the present book. Both use S-Plus to perform the statistical analyses. As remarked by the author, the emphasis of the book is on graphical and computational methods for the analysis of financial data. The book contains three parts: Part I: Exploratory data analysis; Part II: Regression; and Part III: Time series and state space models. In Part I, there are two chapters: Chapter 1 deals with practical estimation and simulation of heavy tailed distributions, quantiles, Q-Q plots and a brief introduction of VaR. Chapter 2 entertains multivariate distributions and measures of dependence, copulas and principal component analysis. Part II has also two chapters: Chapter 3 treats linear models and applications, robustness, LS and LAD estimators. Chapter 4 brings nonparametric regression, multivariate kernel regression and density estimation. Applications are made to several sorts of data. The Black-Scholes formula is reviewed. Part III has 3 chapters: Chapter 5 deals with the classical time series models (AR, MA, ARMA) and Chapter 6 with state space models and the classical Kalman filtering. Chapter 7 contains a treatment of nonlinear models (ARCH, GARCH, SVM, etc). The level of the book is rigorous but no formal proofs are given in general: the emphasis is on precise statements of facts, justification at an intuitive level and practical use of the methodology presented. Each chapter contains a problem section (wisely divided into empirical (E), simulated (S) and/or theoretical (T)) and a section on Notes and Complements, where bibliographical and other relevant comments are given. There is an appendix containing an introduction to S and S-Plus, which are extensively used, together with programs from the library EVANESCE, formulated by the author and co-authors and which can be downloaded free. The book is clearly written and remarkably free of typos. I believe it will be a very usefull addition to the existing books and I higly recommend it.
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