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010			_a 2005929867
020			_a9780387279657 (pbk.) : _c€135.95
020			_a0387279652
040			_aDLC _cDLC _dDLC
042			_apcc
082	0	0	_a332.0151955 _222
100	1		_aZivot, Eric.
245	1	0	_aModeling financial time series with S-plus / _cEric Zivot, Jiahui Wang.
250			_a2nd ed.
260			_aNew York, NY : _bSpringer, _cc2006.
300			_axxii, 998 p. ; _bill. ; _c25 cm.
365			_aEUR _b€135.95 _c€ _d1 EUR = 82.6 INR
504			_aIncludes bibliographical references and index.
505			_aS 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			_aThe 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	0	0	_aS-Plus.
650		0	_aFinance _xMathematical models.
650		0	_aTime-series analysis.
650		0	_aFinance _xEconometric models.
700	1		_aWang, Jiahui.
856	4	2	_3Publisher description _uhttps://www.springer.com/gp/book/9780387279657
856	4	2	_3Contributor biographical information _uhttp://www.loc.gov/catdir/enhancements/fy0814/2005929867-b.html
856	4	1	_3Table of contents only _uhttp://www.springer.com/cda/content/document/cda_downloaddocument/9780387279657-t1.pdf?SGWID=0-0-45-163676-p59330694
906			_a7 _bcbc _corignew _d2 _eepcn _f20 _gy-gencatlg
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