Time series : applications to finance
Ngai Hang Chan · 2002
Preface. Introduction. Probability Models. Autoregressive Moving Average Models. Estimations in Time Domain. Examples in SPLUS. Forecasting. Spectral Analysis. Nonstationarity. Heteroskedasticity. Multivariate Time Series. State Space Models. Multivariate GARCH. Cointegrations and Common Trends. References. Index.