Time Series: Applications to Finance Book Description

Expert coverage of time series techniques for financial applications
Time Series is designed to help readers grasp the conceptualunderpinnings of time series modeling in order to gain a deeperunderstanding of the ever-changing dynamics of the financial world. Itcovers theory and application equally for readers from both financialand mathematical backgrounds.
The book offers succinct coverageof standard topics in statistical time series-such as forecasting andspectral analysis-in a manner that is both technical and conceptual.Recent developments in nonstandard time series techniques are discussedand illustrated in detail with real financial examples. Thesetechniques include:
* Nonstationarity
* Heteroskedasticity
* Multivariate time series
* State space modeling and stochastic volatility
* Multivariate GARCH
* Cointegrations and common trends
All examples are systematically illustrated with S-Plus(r) andhighlight the relevance of time series in financial applications.Detailed analyses and explanations for the S-Plus commands, as well aschallenging end-of-chapter exercises, are also provided.
Elements ofFinancial Time Series fills a gap in the market in the area offinancial time series analysis by giving both conceptual and practicalillustrations. Examples and discussions in the later chapters of thebook make recent developments in time series more accessible. Examplesfrom finance are maximized as much as possible throughout the book.
* Full set of exercises is displayed at the end of each chapter.
* First seven chapters cover standard topics in time series at a high-intensity level.
* Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail.
* Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.
N H Chan has contributed to Time Series: Applications to Finance as an author.Carnegie Mellon University.

Ngai Hang Chan has contributed to Time Series: Applications to Financeas an author.NGAI HANG CHAN, PhD, is Chairman and Professor of Statistics of theDepartment of Statistics at The Chinese University of Hong Kong wherehe was formerly Director of the Risk Management Science Program. He isan elected Fellow of the Institute of Mathematical Statistics, theauthor of Time Series: Applications to Finance (Wiley), and is also theassociate editor of six journals. His research interests includestatistical finance, risk management, time series, econometrics, andstochastic modeling.

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