Statistical analysis of financial data in R

  title={Statistical analysis of financial data in R},
  author={Ren{\'e} A. Carmona},
Univariate Data Distributions.- Heavy Tail Distributions.- Dependence and Multivariate Data Exploration.- Parametric Regression.- Local and Nonparametric Regression.- Time Series Models.- Multivariate Time Series, Linear Systems and Kalman Filtering.- Nonlinear Time Series: Models and Simulation.- Appendices.- Indices. 

SYST/OR 538/438 Analytics for Financial Engineering and Econometrics Fall 2014

Topics include financial transactions and econometric data management, correlation, linear and multiple regressions for financial and economic predictions, stochastic dynamic models and financial time series analysis, and hand-on experiments with R are emphasized throughout the course.

Simultaneous Diagnostic Testing for Linear-Nonlinear Dependence in Time Series

Several goodness-of-fit tests have been proposed to detect linearity in stationary time series based on the autocorrelations of the residuals. Others have been developed based on the autocorrelations

Taylor’s law of fluctuation scaling for semivariances and higher moments of heavy-tailed data

It is shown that, as the sample size increases, the sample upper and lower semivariances, the sampled higher moments, the skewness, and the kurtosis of a random sample from such a law increase asymptotically in direct proportion to a power of the sample mean.

Bootstrapping a powerful mixed portmanteau test for time series

A new portmanteau test statistic is proposed for detecting nonlinearity in time series data. The new portmanteau statistic is calculated from the log of the determinant of a matrix comprised of the

Mixed Portmanteau Tests for Simultaneous Linear and Nonlinear Dependency in Time Series

Omnibus portmanteau tests, for detecting simultaneous linear and nonlinear dependence structures in time series, are proposed. The tests are based on combining the autocorrelation function of the

Financialization of the Commodities Markets: A Non-technical Introduction

The goal of the first part of this chapter is threefold: (a) to introduce the term structure of forward/futures commodity prices, the contango/backwardation duality and the notion of rolling yield as

Stieltjes Sample Characteristic Function: Singular Continuous Distributions Parameters Estimation

In this paper, the Steiltjes sample characteristic function is introduced and studied. It is applied to establish a new parameter estimation method. The method is useful to estimate parameters of

A Powerful Portmanteau Test for Detecting Nonlinearity in Time Series

A new portmanteau test statistic is proposed for detecting nonlinearity in time series data. In this paper, we elaborate on the Toeplitz autocorrelation matrix to the autocorrelation and