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8061Publicado 2013Tabla de Contenidos: “…Cover -- Title Page -- Copyright -- Contents -- Preface -- 1: Financial Data and Their Properties -- 1.1 Asset Returns -- 1.2 Bond Yields and Prices -- 1.3 Implied Volatility -- 1.4 R Packages and Demonstrations -- 1.4.1 Installation of R Packages -- 1.4.2 The Quantmod Package -- 1.4.3 Some Basic R Commands -- 1.5 Examples of Financial Data -- 1.6 Distributional Properties of Returns -- 1.6.1 Review of Statistical Distributions and Their Moments -- 1.7 Visualization of Financial Data -- 1.8 Some Statistical Distributions -- 1.8.1 Normal Distribution -- 1.8.2 Lognormal Distribution -- 1.8.3 Stable Distribution -- 1.8.4 Scale Mixture of Normal Distributions -- 1.8.5 Multivariate Returns -- Exercises -- References -- 2: Linear Models for Financial Time Series -- 2.1 Stationarity -- 2.2 Correlation and Autocorrelation Function -- 2.3 White Noise and Linear Time Series -- 2.4 Simple Autoregressive Models -- 2.4.1 Properties of AR Models -- 2.4.2 Identifying Ar Models in Practice -- 2.4.3 Goodness of Fit -- 2.4.4 Forecasting -- 2.5 Simple Moving Average Models -- 2.5.1 Properties of MA Models -- 2.5.2 Identifying MA Order -- 2.5.3 Estimation -- 2.5.4 Forecasting Using MA Models -- 2.6 Simple Arma Models -- 2.6.1 Properties of ARMA(1,1) Models -- 2.6.2 General ARMA Models -- 2.6.3 Identifying ARMA Models -- 2.6.4 Forecasting Using an ARMA Model -- 2.6.5 Three Model Representations for an ARMA Model -- 2.7 Unit-root Nonstationarity -- 2.7.1 Random Walk -- 2.7.2 Random Walk with Drift -- 2.7.3 Trend-stationary Time Series -- 2.7.4 General Unit-root Nonstationary Models -- 2.7.5 Unit-root Test -- 2.8 Exponential Smoothing -- 2.9 Seasonal Models -- 2.9.1 Seasonal Differencing -- 2.9.2 Multiplicative Seasonal Models -- 2.9.3 Seasonal Dummy Variable -- 2.10 Regression Models with Time Series Errors -- 2.11 Long-memory Models…”
Libro electrónico -
8062Publicado 2014“…Wiley Series in Probability and Statistics…”
Libro electrónico -
8063
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8064Publicado 2000“…Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics…”
Libro -
8065por Draper, Norman Richard“…Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics…”
Publicado 1968
Libro -
8066por Osborne, Michael Robert, 1934-“…Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics…”
Publicado 1985
Libro -
8067por Pankratz, Alan, 1944-“…Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics…”
Publicado 1983
Libro -
8068por De Finetti, Bruno, 1906-1985“…Wiley Series in Probability and Mathematical Statistics. Probability and Mathematical Statistics…”
Publicado 1974
Libro -
8069por Williams, Bill, 1931-“…Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics…”
Publicado 1978
Libro -
8070
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8071por Whittle, Peter“…Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics…”
Publicado 1971
Libro -
8072por Gordon, A. D.“…Monographs on Applied Probability and Statistics…”
Publicado 1981
Biblioteca Universidad de Deusto (Otras Fuentes: Biblioteca de la Universidad de Navarra)Libro -
8073por Hedayat, A. S., 1937-“…Wiley Series in Probability and Mathematical Statistics. Probability and Mathematical Statistics…”
Publicado 1991
Biblioteca Universidad de Deusto (Otras Fuentes: Biblioteca de la Universidad de Navarra)Libro -
8074por Cramér, Harald“…A Wiley Publication in Mathematical Statistics…”
Publicado 1955
Biblioteca Universidad de Deusto (Otras Fuentes: Biblioteca de la Universidad de Navarra)Libro -
8075por Mardia, K. V.“…Probability and Mathematical Statistics…”
Publicado 1982
Biblioteca Universidad de Deusto (Otras Fuentes: Biblioteca de la Universidad de Navarra)Libro -
8076por Johnson, Norman Lloyd, 1917-2004“…Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics…”
Publicado 1977
Biblioteca Universidad de Deusto (Otras Fuentes: Biblioteca de la Universidad de Navarra)Libro -
8077por Wonnacott, Ronald J.“…Wiley Series in Probability and Mathematical Statistics. Applied Probability and Statistics…”
Publicado 1970
Biblioteca Universidad de Deusto (Otras Fuentes: Biblioteca de la Universidad de Navarra)Libro -
8078por Puterman, Martin L.“…Wiley series in probability and mathematical statistics. Applied probability and statistics…”
Publicado 1994
Libro -
8079por Feller, William“…Wiley series in probability and mathematical statistics. Probability and mathematical statistics…”
Publicado 1968
Libro -
8080
