Abstract
This book is about the analysis of financial markets data. After this brief introductory chapter, we turn immediately in Chaps. 2 and 3 to the sources of the data, returns on equities and prices and yields on bonds. Chapter 4 develops methods for informal, often graphical, analysis of data. More formal methods based on statistical inference, that is, estimation and testing, are introduced in Chap. 5 The chapters that follow Chap. 5 cover a variety of more advanced statistical techniques: ARIMA models, regression, multivariate models, copulas, GARCH models, factor models, cointegration, Bayesian statistics, and nonparametric regression.
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References
Box, G. E. P. (1976) Science and statistics, Journal of the American Statistical Association, 71, 791–799.
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Ruppert, D., Matteson, D.S. (2015). Introduction. In: Statistics and Data Analysis for Financial Engineering. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-2614-5_1
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DOI: https://doi.org/10.1007/978-1-4939-2614-5_1
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