Chapter: Continuous-Time Models for Financial Time Series

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Home > Modeling Financial Time Series with S-PLUS® > Continuous-Time Models for Financial Time Series

Modeling Financial Time Series with S-PLUS® |

Eric Zivot; Jiahui Wang

Springer New York

Modeling Financial Time Series with S-PLUS®

Continuous-Time Models for Financial Time Series

Chapter Info

ARI Id

1664083499998_254952

Access

Not Available Free

Pages

759-783

DOI

10.1007/978-0-387-32348-0_20

Chapter URL

https://rd.springer.com/chapter/10.1007/978-0-387-32348-0_20

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Chapters/Headings	Author(s)	Pages	Info
Front Matter		i-xxii
S and S-PLUS		1-14
Time Series Specification, Manipulation, and Visualization in S-PLUS		15-55
Time Series Concepts		57-110
Unit Root Tests		111-139
Modeling Extreme Values		141-179
Time Series Regression Modeling		181-222
Univariate GARCH Modeling		223-269
Long Memory Time Series Modeling		271-311
Rolling Analysis of Time Series		313-360
Systems of Regression Equations		361-383
Vector Autoregressive Models for Multivariate Time Series		385-429
Cointegration		431-480
Multivariate GARCH Modeling		481-518
State Space Models		519-567
Factor Models for Asset Returns		569-616
Term Structure of Interest Rates		617-634
Robust Change Detection		635-652
Nonlinear Time Series Models		653-712
Copulas		713-758
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