| 书目名称 | Statistical Analysis of Financial Data in S-Plus | | 编辑 | René A. Carmona | | 视频video | | | 概述 | The first book at the graduate textbook level to discuss analyzing financial data with S-PLUS.Includes supplementary material: .Request lecturer material: | | 丛书名称 | Springer Texts in Statistics | | 图书封面 |  | | 描述 | .This book develops the use of statistical data analysis in finance, and it uses the statistical software environment of S-PLUS as a vehicle for presenting practical implementations from financial engineering. It is divided into three parts. Part I, Exploratory Data Analysis, reviews the most commonly used methods of statistical data exploration. Its originality lies in the introduction of tools for the estimation and simulation of heavy tail distributions and copulas, the computation of measures of risk, and the principal component analysis of yield curves. Part II, Regression, introduces modern regression concepts with an emphasis on robustness and non-parametric techniques. The applications include the term structure of interest rates, the construction of commodity forward curves, and nonparametric alternatives to the Black Scholes option pricing paradigm. Part III, Time Series and State Space Models, is concerned with theories of time series and of state space models. Linear ARIMA models are applied to the analysis of weather derivatives, Kalman filtering is applied to public company earnings prediction, and nonlinear GARCH models and nonlinear filtering are applied to stochast | | 出版日期 | Textbook 20041st edition | | 关键词 | Analysis; Fitting; Multiple Regression; Random variable; STATISTICA; Statistical Analysis; Time series; bes | | 版次 | 1 | | doi | https://doi.org/10.1007/b97626 | | isbn_softcover | 978-1-4419-1908-3 | | isbn_ebook | 978-0-387-21824-3Series ISSN 1431-875X Series E-ISSN 2197-4136 | | issn_series | 1431-875X | | copyright | Springer Science+Business Media New York 2004 |
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发表于 2025-3-21 19:28:59
