Wang, Modeling Financial Time Series With S-Plus. New York, NY, USA: Springer, 2007.Taylor, S. 2007. Modeling Financial Time Series (2nd ed.). World Scientific Publishing Co: Singapore.Zivot, E., Wang, J., 2007. Modeling financial time series with S-Plus R . Springer Science & ...
Modeling financial time series with S-plus . 2. ed. New York: Springer, 2005.Zivot E. and Jiahui Wang (2002). Modeling Financial Time Series with S-Plus.Zivot, E., and J. Wang (2006), Modeling Financial Time Series With S‐PLUS, 2nd ed., Springer, Berlin....
First return series are segmentedwith respect to changes in the volatility and then the two parameters of the model are es-timated. To assess the capabilities of the model, historical prices of the Standard and Poor500Index(S&P500),FinancialTimeStocksExchange100Index(FTSE100),DeutscheBoerseAg...
Modeling Financial Time Series with S-Plus The field of financial econometrics has exploded over the last decade. This book represents an integration of theory, methods, and examples using the S-PLU... E Zivot,J Wang - Modeling Financial Time Series with S-Plus® 被引量: 0发表: 2003年 ...
摘要: The aim of this paper is the practical fitting of GARCH-type models, with the errors taken from the class of generalized hyperbolic distributions, to a set of financial time series. Most financial time series have been found to be heteroscedastic. We use a GARCH (1, 1)...
In this paper we propose a new data-dependent approach to modeling financial time series volatility. This method allows self-detection of the presence of leverage effect. The proposed model also automatically adjusts the time-dependent random coefficients in an efficient manner. The examples show ...
Time Series Modeling and ForecastingAnalysis and modeling of financial time series data and forecasting future values of market variables constitute an important empirical core of quantitative finance. This chapter introduces some...doi:10.1007/978-0-387-77827-3_5Tze Leung Lai...
Modelling long-run trends and cycles in financial time series data This article proposes a general time series framework to capture the long-run behaviour of financial series. The suggested approach includes linear and seg... GM Caporale,J Cunado,LA Gil-Alana - 《Journal of Time》 被引量: ...
financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via ... WA Shewhart,SS Wilks - Analysis of Financial Time Series, Second Edition 被引量: 232发表: 2005年 Predictive modeling of total healthcare ...