Statistics and Data Analysis for Financial EngineeringSeries: Springer Texts in Statistics

Ruppert, David

1st Edition., 2011, XXII, 638 p., Hardcover
ISBN: 978-1-4419-7786-1


http://www.springer.com/statistics/business,+economics+%26+finance/book/978-1-4419-7786-1
Content Level ? Graduate
Keywords ? Bayesian statistics - portfolio management and the CAPM - regression and model diagnostics - risk management - time series and GARCH models
Related subjects ? Business, Economics & Finance
Table of contents
Introduction.- Returns.- Fixed income securities.- Exploratory data analysis.- Modeling univariate distributions.- Resampling.- Multivariate statistical models.- Copulas.- Time series models: basics.- Time series models: further topics.- Portfolio theory.- Regression: basics.- Regression: troubleshooting.- Regression: advanced topics.- Cointegration.- The capital asset pricing model.- Factor models and principal components.- GARCH models.- Risk management.- Bayesian data analysis and MCMC.- Nonparametric regression and splines.