Modeling financial time series with S-plus / (Record no. 12744)
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fixed length control field | 04244nam a2200385 4500 |
001 - CONTROL NUMBER | |
control field | 14016542 |
003 - CONTROL NUMBER IDENTIFIER | |
control field | OSt |
005 - DATE AND TIME OF LATEST TRANSACTION | |
control field | 20200128150418.0 |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
fixed length control field | 200128b xxu||||| |||| 00| 0 eng d |
010 ## - LIBRARY OF CONGRESS CONTROL NUMBER | |
LC control number | 2005929867 |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 9780387279657 (pbk.) : |
Terms of availability | €135.95 |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
International Standard Book Number | 0387279652 |
040 ## - CATALOGING SOURCE | |
Original cataloging agency | DLC |
Transcribing agency | DLC |
Modifying agency | DLC |
042 ## - AUTHENTICATION CODE | |
Authentication code | pcc |
082 00 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
Classification number | 332.0151955 |
Edition number | 22 |
100 1# - MAIN ENTRY--PERSONAL NAME | |
Personal name | Zivot, Eric. |
245 10 - TITLE STATEMENT | |
Title | Modeling financial time series with S-plus / |
Statement of responsibility, etc. | Eric Zivot, Jiahui Wang. |
250 ## - EDITION STATEMENT | |
Edition statement | 2nd ed. |
260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
Place of publication, distribution, etc. | New York, NY : |
Name of publisher, distributor, etc. | Springer, |
Date of publication, distribution, etc. | c2006. |
300 ## - PHYSICAL DESCRIPTION | |
Extent | xxii, 998 p. ; |
Other physical details | ill. ; |
Dimensions | 25 cm. |
365 ## - TRADE PRICE | |
Price type code | EUR |
Price amount | €135.95 |
Currency code | € |
Unit of pricing | 1 EUR = 82.6 INR |
504 ## - BIBLIOGRAPHY, ETC. NOTE | |
Bibliography, etc. note | Includes bibliographical references and index. |
505 ## - FORMATTED CONTENTS NOTE | |
Formatted contents note | S and S-PLUS. Time Series Specification, Manipulation, and Visualization in S-PLUS. Time Series Concepts. Unit Root Tests. Modeling Extreme Values. Time Series Regression Modeling. Univariate GARCH Modeling. Long Memory Time Series Modeling. Rolling Analysis of Time Series. Systems of Regression Equations. Vector Autoregressive Models for Multivariate Time Series. Cointegration. Multivariate GARCH Modeling. State Space Models. Factor Models for Asset Returns. Term Structure of Interest Rates. Robust Change Detection. Nonlinear Time Series Models. Copulas. Continuous-Time Models for Financial Time Series. Generalized Method of Moments. Seminonparametric Conditional Density Models. Effcient Method of Moments. |
520 ## - SUMMARY, ETC. | |
Summary, etc. | The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This second edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is a Principal and Trading Research Officer at Barclays Global Investors. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre. |
630 00 - SUBJECT ADDED ENTRY--UNIFORM TITLE | |
Uniform title | S-Plus. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name entry element | Finance |
General subdivision | Mathematical models. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name entry element | Time-series analysis. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
Topical term or geographic name entry element | Finance |
General subdivision | Econometric models. |
700 1# - ADDED ENTRY--PERSONAL NAME | |
Personal name | Wang, Jiahui. |
856 42 - ELECTRONIC LOCATION AND ACCESS | |
Materials specified | Publisher description |
Uniform Resource Identifier | https://www.springer.com/gp/book/9780387279657 |
856 42 - ELECTRONIC LOCATION AND ACCESS | |
Materials specified | Contributor biographical information |
Uniform Resource Identifier | http://www.loc.gov/catdir/enhancements/fy0814/2005929867-b.html |
856 41 - ELECTRONIC LOCATION AND ACCESS | |
Materials specified | Table of contents only |
Uniform Resource Identifier | http://www.springer.com/cda/content/document/cda_downloaddocument/9780387279657-t1.pdf?SGWID=0-0-45-163676-p59330694 |
906 ## - LOCAL DATA ELEMENT F, LDF (RLIN) | |
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c | orignew |
d | 2 |
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f | 20 |
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942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
Source of classification or shelving scheme | |
Koha item type | Monograph |
Withdrawn status | Lost status | Source of classification or shelving scheme | Materials specified (bound volume or other part) | Damaged status | Not for loan | Permanent Location | Current Location | Shelving location | Date acquired | Source of acquisition | Cost, normal purchase price | Inventory number | Full call number | Barcode | Date last seen | Copy number | Cost, replacement price | Price effective from | Koha item type |
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pbk. | Indian Institute of Management Udaipur | Indian Institute of Management Udaipur | A5/1 | 2020-01-28 | 20 | 9025.80 | IN-34113 - 02/01/2020 | 332.0151955 | 005023 | 2020-01-28 | 1 | 11229.47 | 2020-01-28 | Monograph |