Download e-book for iPad: An Introduction to Analysis of Financial Data with R (Wiley by Ruey S. Tsay

By Ruey S. Tsay

ISBN-10: 1119013453

ISBN-13: 9781119013457

Publish 12 months note: First released in 2012

A entire set of statistical instruments for starting monetary analysts from a number one authority

Written by means of one of many best specialists at the subject, An advent to research of economic information with R explores easy suggestions of visualization of economic info. via a basic stability among conception and functions, the e-book provides readers with an obtainable method of monetary econometric types and their purposes to real-world empirical research.

The writer provides a hands-on creation to the research of economic facts utilizing the freely to be had R software program package deal and case experiences to demonstrate real implementations of the mentioned tools. The ebook starts off with the fundamentals of economic information, discussing their precis information and similar visualization tools. next chapters discover simple time sequence research and straightforward econometric versions for enterprise, finance, and economics in addition to comparable subject matters including:
• Linear time sequence research, with assurance of exponential smoothing for forecasting and strategies for version comparison
• diversified methods to calculating asset volatility and numerous volatility models
• High-frequency monetary info and straightforward versions for expense adjustments, buying and selling depth, and learned volatility
• Quantitative tools for hazard administration, together with price in danger and conditional worth at risk
• Econometric and statistical equipment for chance evaluation in keeping with severe price conception and quantile regression

Throughout the publication, the visible nature of the subject is showcased via graphical representations in R, and targeted case reports display the relevance of records in finance. A similar web site good points extra info units and R scripts so readers can create their very own simulations and attempt their comprehension of the awarded techniques.

An creation to research of monetary information with R is a superb publication for introductory classes on time sequence and enterprise statistics on the upper-undergraduate and graduate point. The publication is additionally a very good source for researchers and practitioners within the fields of commercial, finance, and economics who want to improve their realizing of monetary information and today''s monetary markets.

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Additional resources for An Introduction to Analysis of Financial Data with R (Wiley Series in Probability and Statistics)

Example text

12. Empirical density function of daily simple returns of 3M stock from January 2, 2001 to September 30, 2011. The dashed line denotes the density function of a normal distribution with the same mean and variance. 13. Bar chart for daily Apple stock prices from January 3 to June 30, 2011. The vertical bar shows the daily price range, the left horizontal line gives the opening price, and the right horizontal line denotes the closing price. 14. Moving-average plot of daily Apple stock from January 2, 2010 to December 8, 2011.

Consider the monthly stock returns of S&P composite index from January 1940 to September 2011 in Problem 2. Perform the following tests and draw conclusions using the 5% significance level. (a) Test H0 : μ = 0 versus Ha : μ = 0, where μ denotes the mean return. (b) Test H0 : m3 = 0 versus Ha : m3 = 0, where m3 denotes the skewness. (c) Test H0 : K = 3 versus Ha : K = 3, where K denotes the kurtosis. Consider the daily log returns of American Express stock from September 1, 2001 to September 30, 2011 as in Problem 1.

3368 .... 6 DISTRIBUTIONAL PROPERTIES OF RETURNS To gain a better understanding on asset returns, we begin with their distributional properties. The objective here is to study the behavior of the returns across assets and over time. Consider a collection of N assets held for T time periods, say, t = 1, . . , T . For each asset i , let rit be its log return at time t. The log returns under study are {rit ; i = 1, . . , N ; t = 1, . . , T }. One can also consider the simple returns {Rit ; i = 1, .

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An Introduction to Analysis of Financial Data with R (Wiley Series in Probability and Statistics) by Ruey S. Tsay

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