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[学科前沿] Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH [推广有奖]

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zfk 发表于 2019-4-15 12:08:44 |显示全部楼层

Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH

Author(s): Marc S. Paolella

Series: Wiley Series in Probability and Statistics

Publisher: Wiley, Year: 2018

ISBN: 1119431905, 9781119431909


Description:
A comprehensive and timely edition on an emerging new trend in time series

Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCHsets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book,Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation.

The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters inLinear Models and Time-Series Analysiscover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work.


Covers traditional time series analysis with new guidelines
Provides access to cutting edge topics that are at the forefront of financial econometrics and industry
Includes latest developments and topics such as financial returns data, notably also in a multivariate context
Written by a leading expert in time series analysis
Extensively classroom tested
Includes a tutorial on SAS
Supplemented with a companion website containing numerous Matlab programs
Solutions to most exercises are provided in the book
Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCHis suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Linear Models and Time-Series Analysis.pdf (36.39 MB, 售价: 20 个论坛币)


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baiwei1637124 学生认证  发表于 2019-4-17 18:44:50 |显示全部楼层
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