Time
Series Applications to Finance Wiley Series in Probability and Statistics ISBN 0-471-411175, April 2002, 203pp www.wiley.com This text fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. - Provides up-to-date coverage of material with real examples of financial applications.
- Examples are systematically illustrated in S-plus. Codes and data available on this web site.
- Cover important topics such as GARCH, stochastic volatility models, and state space representation of fixed-income model.
Data set and files used in this book: (To view/open these files, you can use any text editor such as MS Windows Notepad after downloading the files.) - accdeaths.dat
- airline.dat
- coin.q
- dh.dat
- exchange.dat
- eygap.dat
- forex.dat
- imsl2.f
- style.dat
- ustbill.dat
- washpower.dat
- weg.dat
- yields.dat
- zeros.dat
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