[首发]陈毅恒2010新书《Time Series: Applications to Finance with R and S-Plus

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论坛中有的是第一版，本书是第二版Time Series: Applications to Finance with R and S-Plus

A new edition of the comprehensive, hands-on guide to financial time series, now featuring S-Plus® and R software

Time Series: Applications to Finance with R and S-Plus®, Second Edition is designed to present an in-depth introduction to the conceptual underpinnings and modern ideas of time series analysis. Utilizing interesting, real-world applications and the latest software packages, this book successfully helps readers grasp the technical and conceptual manner of the topic in order to gain a deeper understanding of the ever-changing dynamics of the financial world.

With balanced coverage of both theory and applications, this Second Edition includes new content to accurately reflect the current state-of-the-art nature of financial time series analysis. A new chapter on Markov Chain Monte Carlo presents Bayesian methods for time series with coverage of Metropolis-Hastings algorithm, Gibbs sampling, and a case study that explores the relevance of these techniques for understanding activity in the Dow Jones Industrial Average. The author also supplies a new presentation of statistical arbitrage that includes discussion of pairs trading and cointegration. In addition to standard topics such as forecasting and spectral analysis, real-world financial examples are used to illustrate recent developments in nonstandard techniques, including:

• Nonstationarity
• Heteroscedasticity
• Multivariate time series
• State space modeling and stochastic volatility
• Multivariate GARCH
• Cointegration and common trends
  

The book's succinct and focused organization allows readers to grasp the important ideas of time series. All examples are systematically illustrated with S-Plus® and R software, highlighting the relevance of time series in financial applications. End-of-chapter exercises and selected solutions allow readers to test their comprehension of the presented material, and a related Web site features additional data sets.

Time Series: Applications to Finance with R and S-Plus® is an excellent book for courses on financial time series at the upper-undergraduate and beginning graduate levels. It also serves as an indispensible resource for practitioners working with financial data in the fields of statistics, economics, business, and risk management.

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关键词：Applications Application Time Series Finance cation conceptual featuring software designed present

详细介绍一下吧

唉，下了。只可惜是扫描版。

Time Series_Applications to Finance with R and S-Plus (2nd Editio)_Ngai Hang Chen 2010

Hao!

非常感谢~文字可以复制，好东西~

非常感谢，很清晰

感谢分享。

好东西啊

好东西，先收藏！

不错，好书