A new edition of the comprehensive, hands-on guide to financial time series, now featuring S-PlusŪ and R software
Time Series: Applications to Finance with R 
	and S-PlusŪ, 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-PlusŪ 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-PlusŪ 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.
