Time Series With Long Memory
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Modeling Financial Time Series With S Plus
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Author : Eric Zivot
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-11
Modeling Financial Time Series With S Plus written by Eric Zivot and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-11 with Business & Economics categories.
The field of financial econometrics has exploded over the last decade This book represents an integration of theory, methods, and examples using the S-PLUS statistical modeling language and the S+FinMetrics module to facilitate the practice of financial econometrics. This is the first book to show the power of S-PLUS for the analysis of time series data. It is written for researchers and practitioners in the finance industry, academic researchers in economics and finance, and advanced MBA and graduate students in economics and finance. Readers are assumed to have a basic knowledge of S-PLUS and a solid grounding in basic statistics and time series concepts. This Second Edition is updated to cover S+FinMetrics 2.0 and includes new chapters on copulas, nonlinear regime switching models, continuous-time financial models, generalized method of moments, semi-nonparametric conditional density models, and the efficient method of moments. Eric Zivot is an associate professor and Gary Waterman Distinguished Scholar in the Economics Department, and adjunct associate professor of finance in the Business School at the University of Washington. He regularly teaches courses on econometric theory, financial econometrics and time series econometrics, and is the recipient of the Henry T. Buechel Award for Outstanding Teaching. He is an associate editor of Studies in Nonlinear Dynamics and Econometrics. He has published papers in the leading econometrics journals, including Econometrica, Econometric Theory, the Journal of Business and Economic Statistics, Journal of Econometrics, and the Review of Economics and Statistics. Jiahui Wang is an employee of Ronin Capital LLC. He received a Ph.D. in Economics from the University of Washington in 1997. He has published in leading econometrics journals such as Econometrica and Journal of Business and Economic Statistics, and is the Principal Investigator of National Science Foundation SBIR grants. In 2002 Dr. Wang was selected as one of the "2000 Outstanding Scholars of the 21st Century" by International Biographical Centre.
Handbook Of Time Series Analysis
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Author : Björn Schelter
language : en
Publisher: John Wiley & Sons
Release Date : 2006-12-13
Handbook Of Time Series Analysis written by Björn Schelter and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-12-13 with Science categories.
This handbook provides an up-to-date survey of current research topics and applications of time series analysis methods written by leading experts in their fields. It covers recent developments in univariate as well as bivariate and multivariate time series analysis techniques ranging from physics' to life sciences' applications. Each chapter comprises both methodological aspects and applications to real world complex systems, such as the human brain or Earth's climate. Covering an exceptionally broad spectrum of topics, beginners, experts and practitioners who seek to understand the latest developments will profit from this handbook.
Wavelet Methods For Time Series Analysis
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Author : Donald B. Percival
language : en
Publisher: Cambridge University Press
Release Date : 2006-02-27
Wavelet Methods For Time Series Analysis written by Donald B. Percival and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-02-27 with Mathematics categories.
This introduction to wavelet analysis 'from the ground level and up', and to wavelet-based statistical analysis of time series focuses on practical discrete time techniques, with detailed descriptions of the theory and algorithms needed to understand and implement the discrete wavelet transforms. Numerous examples illustrate the techniques on actual time series. The many embedded exercises - with complete solutions provided in the Appendix - allow readers to use the book for self-guided study. Additional exercises can be used in a classroom setting. A Web site offers access to the time series and wavelets used in the book, as well as information on accessing software in S-Plus and other languages. Students and researchers wishing to use wavelet methods to analyze time series will find this book essential.
International Encyclopedia Of Statistical Science
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Author : Miodrag Lovric
language : en
Publisher: Springer Nature
Release Date : 2025-06-19
International Encyclopedia Of Statistical Science written by Miodrag Lovric and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-06-19 with Mathematics categories.
The International Encyclopedia of Statistical Science stands as a monumental effort to enrich statistics education globally, particularly in regions facing educational challenges. By amalgamating the expertise of over 700 authors from 110 countries, including Nobel Laureates and presidents of statistical societies, it offers an unparalleled resource for readers worldwide. This encyclopedia is not just a collection of entries; it is a concerted effort to revive statistics as a vibrant, critical field of study and application. Providing a comprehensive and accessible account of statistical terms, methods, and applications, it enables readers to gain a quick insight into the subject, regardless of their background. This work serves to refresh and expand the knowledge of researchers, managers, and practitioners, highlighting the relevance and applicability of statistics across various fields, from economics and business to healthcare and public policy. Furthermore, it aims to inspire students by demonstrating the significance of statistics in solving real-world problems, thus encouraging a new generation to explore and contribute to the field.
Time Series Analysis And Forecasting
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Author : Olga Valenzuela
language : en
Publisher: Springer Nature
Release Date : 2025-08-05
Time Series Analysis And Forecasting written by Olga Valenzuela and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-08-05 with Mathematics categories.
This volume on the latest developments in the theory and applications of time series analysis and forecasting comprises a selection of refereed papers presented at the 9th International Conference on Time Series and Forecasting, ITISE 2023, held in Gran Canaria, Spain, July 12-14, 2023. It is divided into several parts that address modern theoretical aspects of time series analysis, advanced econometric methods, time series and machine learning, financial forecasting and risk analysis, and applications to various disciplines, including econometrics and energy research. The broad range of topics and applications presented, including matters of particular relevance for sustainable development, gives readers a modern perspective on the subject. The ITISE conference series provides a forum for scientists, engineers, educators and students to discuss the latest advances and implementations in the foundations, theory, models and applications of time series analysis and forecasting. It focuses on interdisciplinary research encompassing computer science, mathematics, statistics and econometrics.
Advances In Quantitative Asset Management
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Author : Christian Dunis
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Advances In Quantitative Asset Management written by Christian Dunis and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Business & Economics categories.
Advances in Quantitative Asset Management contains selected articles which, for the most part, were presented at the `Forecasting Financial Markets' Conference. `Forecasting Financial Markets' is an international conference on quantitative finance which is held in London in May every year. Since its inception in 1994, the conference has grown in scope and stature to become a key international meeting point for those interested in quantitative finance, with the participation of prestigious academic and research institutions from all over the world, including major central banks and quantitative fund managers. The editor has chosen to concentrate on advances in quantitative asset management and, accordingly, the papers in this book are organized around two major themes: advances in asset allocation and portfolio management, and modelling risk, return and correlation.
Advances In Information And Communication
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Author : Kohei Arai
language : en
Publisher: Springer Nature
Release Date : 2025-03-04
Advances In Information And Communication written by Kohei Arai and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-03-04 with Computers categories.
This book comprises the proceedings of the Future of Information and Communication Conference (FICC) 2025, held on 28-29 April 2025 in Berlin, Germany. The conference brought together leading researchers, industry experts, and academics from across the globe to discuss the latest advancements, challenges, and opportunities in the rapidly evolving field of information and communication technologies. The conference received an impressive 401 submissions, of which 138 high-quality papers were selected after a rigorous peer-review process. These contributions span a diverse range of topics, including artificial intelligence, cybersecurity, data science, networking, human–computer interaction, and more. FICC 2025 provided an engaging platform for collaboration and knowledge exchange, highlighting state-of-the-art research and practical solutions to global challenges. This proceedings book serves as a valuable resource for researchers, practitioners, and innovators seeking insights into the future of information and communication technologies.
Developments In Time Series Analysis
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Author : T. Subba Rao
language : en
Publisher: CRC Press
Release Date : 1993-07-01
Developments In Time Series Analysis written by T. Subba Rao and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 1993-07-01 with Mathematics categories.
This volume contains 27 papers, written by time series analysts, dealing with statistical theory, methodology and applications. The emphasis is on the recent developments in the analysis of linear, onlinear (non-Gaussian), stationary and nonstationary time series. The topics include cointegration, estimation and asymptotic theory, Kalman filtering, nonparametric statistical inference, long memory models, nonlinear models, spectral analysis of stationary and nonstationary processes. Quite a number of papers are devoted to modelling and analysis of real time series, and the econometricians, mathematical statisticians, communications engineers and scientists who use time series techniques and Fourier analysis should find the papers in this volume useful.
Wavelets In Geophysics
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Author : Efi Foufoula-Georgiou
language : en
Publisher: Elsevier
Release Date : 2014-06-28
Wavelets In Geophysics written by Efi Foufoula-Georgiou and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-06-28 with Science categories.
Applications of wavelet analysis to the geophysical sciences grew from Jean Morlet's work on seismic signals in the 1980s. Used to detect signals against noise, wavelet analysis excels for transients or for spatiallylocalized phenomena. In this fourth volume in the renown WAVELET ANALYSIS AND ITS APPLICATIONS Series, Efi Foufoula-Georgiou and Praveen Kumar begin with a self-contained overview of the nature, power, and scope of wavelet transforms. The eleven originalpapers that follow in this edited treatise show how geophysical researchers are using wavelets to analyze such diverse phenomena as intermittent atmospheric turbulence, seafloor bathymetry, marine and other seismic data, and flow in aquifiers. Wavelets in Geophysics will make informative reading for geophysicists seeking an up-to-date account of how these tools are being used as well as for wavelet researchers searching for ideas for applications, or even new points of departure. Includes twelve original papers written by experts in the geophysical sciences Provides a self-contained overview of the nature, power, and scope of wavelet transforms Presents applications of wavelets to geophysical phenomena such as: The sharp events of seismic data, Long memory processes, such as fluctuation in the level of the Nile, A structure preserving decomposition of turbulence signals
Handbook Of Multi Commodity Markets And Products
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Author : Andrea Roncoroni
language : en
Publisher: John Wiley & Sons
Release Date : 2015-04-27
Handbook Of Multi Commodity Markets And Products written by Andrea Roncoroni and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-04-27 with Business & Economics categories.
Handbook of Multi-Commodity Markets and ProductsOver recent decades, the marketplace has seen an increasing integration, not only among different types of commodity markets such as energy, agricultural, and metals, but also with financial markets. This trend raises important questions about how to identify and analyse opportunities in and manage risks of commodity products. The Handbook of Multi-Commodity Markets and Products offers traders, commodity brokers, and other professionals a practical and comprehensive manual that covers market structure and functioning, as well as the practice of trading across a wide range of commodity markets and products. Written in non-technical language, this important resource includes the information needed to begin to master the complexities of and to operate successfully in today’s challenging and fluctuating commodity marketplace. Designed as a practical practitioner-orientated resource, the book includes a detailed overview of key markets – oil, coal, electricity, emissions, weather, industrial metals, freight, agricultural and foreign exchange – and contains a set of tools for analysing, pricing and managing risk for the individual markets. Market features and the main functioning rules of the markets in question are presented, along with the structure of basic financial products and standardised deals. A range of vital topics such as stochastic and econometric modelling, market structure analysis, contract engineering, as well as risk assessment and management are presented and discussed in detail with illustrative examples to commodity markets. The authors showcase how to structure and manage both simple and more complex multi-commodity deals. Addressing the issues of profit-making and risk management, the book reveals how to exploit pay-off profiles and trading strategies on a diversified set of commodity prices. In addition, the book explores how to price energy products and other commodities belonging to markets segmented across specific structural features. The Handbook of Multi-Commodity Markets and Products includes a wealth of proven methods and useful models that can be selected and developed in order to make appropriate estimations of the future evolution of prices and appropriate valuations of products. The authors additionally explore market risk issues and what measures of risk should be adopted for the purpose of accurately assessing exposure from multi-commodity portfolios. This vital resource offers the models, tools, strategies and general information commodity brokers and other professionals need to succeed in today’s highly competitive marketplace.