R in finance and economics: a beginner's guide
Gespeichert in:
| Beteiligte Personen: | , |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
New Jersey ; London ; Singapore ; Beijing ; Shanghai ; Hong Kong ; Taipei ; Chennai ; Tokyo
World Scientific
[2017]
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029425956&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references |
| Umfang: | xvii, 245 Seiten Illustrationen |
| ISBN: | 9789813144460 |
Internformat
MARC
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| 100 | 1 | |a Singh, Abhay Kumar |d 1958- |0 (DE-588)1029775443 |4 aut | |
| 245 | 1 | 0 | |a R in finance and economics |b a beginner's guide |c Abhay Kumar Singh (Edith Cowan University, Australia), David Edmund Allen (University of Sydney, Australia) |
| 264 | 1 | |a New Jersey ; London ; Singapore ; Beijing ; Shanghai ; Hong Kong ; Taipei ; Chennai ; Tokyo |b World Scientific |c [2017] | |
| 300 | |a xvii, 245 Seiten |b Illustrationen | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 500 | |a Includes bibliographical references | ||
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| 650 | 0 | 7 | |a Finanzmathematik |0 (DE-588)4017195-4 |2 gnd |9 rswk-swf |
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| 689 | 0 | 0 | |a R |g Programm |0 (DE-588)4705956-4 |D s |
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| 689 | 0 | 2 | |a Wirtschaftswissenschaften |0 (DE-588)4066528-8 |D s |
| 689 | 0 | |5 DE-604 | |
| 700 | 1 | |a Allen, David E. |d 1948- |0 (DE-588)129679801 |4 aut | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029425956&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 943 | 1 | |a oai:aleph.bib-bvb.de:BVB01-029425956 | |
Datensatz im Suchindex
| DE-BY-TUM_call_number | 0048 MAT 620f 2017 A 1051 |
|---|---|
| DE-BY-TUM_katkey | 2249923 |
| DE-BY-TUM_location | LSB |
| DE-BY-TUM_media_number | 040008253098 |
| _version_ | 1821933896896348160 |
| adam_text | Titel: R in finance and economics
Autor: Singh, Abhay Kumar
Jahr: 2017
Contents
About the Authors v
Preface vii
Supplementary Material xi
1. Introduction 1
1.1 Why Should We Learn R?....................................2
1.2 R: Getting Started............................................3
1.2.1 Installing R on windows..............................3
1.2.2 RStudio: A better way to run R....................4
1.2.3 Installing RStudio for windows......................4
1.2.4 RStudio GUI/IDE....................................5
1.3 Proxy Setup....................................................6
1.4 R Packages....................................................7
1.4.1 Installing packages....................................8
1.5 R Core Packages..............................................8
1.6 Task Views in R: Introduction and Installation............9
1.7 Getting Help ..................................................10
1.7.1 Getting help from the web..........................13
1.8 Summary......................................................14
2. Data Objects in R 15
2.1 Introduction....................................................15
2.2 Data Types....................................................15
2.2.1 Double................................................16
2.2.2 Integer................................................16
2.2.3 Complex..............................................16
2.2.4 Logical................................................17
2.2.5 Character..............................................17
2.2.6 Factor..................................................10
2.2.7 Date and time....................
2.2.8 Missing data in R....................................20
2.3 Data Structures in R............................20
2.3.1 Vector..................................................20
2.3.2 Matrices ..............................................21
2.3.2.1 Matrix manipulations......................22
2.3.3 Arrays ................................................23
2.3.4 Data frames ..........................................25
2.3.5 Lists.......................... 27
2.4 Summary . ...................................................28
3. Data Handling in R 29
3.1 Introduction....................................................29
3.2 Importing and Exporting Tabular Data in R................29
3.2.1 Reading data from a text file........................29
3.2.2 Reading data from CSV file............. 32
3.2.3 Reading data from excel files........................33
3.2.4 Reading data from databases........................33
3.2.5 Reading from data files from other statistical
systems................................................33
3.2.5.1 Reading SPSS data file.......... 34
3.2.5.2 Reading Stata data file....................36
3.2.5.3 Reading Matlab data files..................37
3.3 Data Preprocessing in R................... 37
3.3.1 Extracting data......................................37
3.3.2 Combining data frames..............................39
3.3.3 Sub-setting and logical data selection..............41
3.4 Summary......................................................43
4. R Programming and Control Flow 45
4.1 Introduction....................................................45
4.2 Control Flow..................................................46
4.2.1 If-else conditional statements........................46
4.2.2 Using switch..........................................47
4.2.3 Loops..................................................48
4.3 Functions in R ................................................50
4.4 Summary......................................................52
5. Data Exploration 53
5.1 Introduction....................................................53
5.2 Summary Statistics............................................53
5.3 Example: Descriptive Statistics of Stock Returns..........59
5.3.1 Introduction..........................................59
5.3.2 Importing the data ..................................61
5.3.2.1 Using the describe function..............66
5.3.2.2 Using stat.desc from package
pastecs......................................67
5.3.3 Some basic plots......................................71
5.4 Summary......................................................74
6. Graphics in R 75
6.1 Introduction....................................................75
6.2 Basic Plots in R................................................76
6.3 Exporting Graphics............................................86
6.4 R Graphical Parameters......................................88
6.5 Introduction to ggplot2 ...................................91
6.5.1 Getting started with qplot..........................92
6.5.2 Layered graphics using ggplot......................93
6.6 Transforming Data from Wide to Long Format............100
6.7 Summary......................................................102
7. Regression Analysis-I 103
7.1 Introduction....................................................103
7.2 OLS............................................................103
7.3 QR..............................................................107
7.3.1 Estimating QR........................................110
7.4 Example: Fama-French Factor Model and Multiple
Regression......................................................114
7.4.1 Introduction..........................................114
7.4.2 Data ..................................................116
7.4.2.1 Data preprocessing........................117
7.4.3 OLS regression analysis of the Fama-French
three factor model....................................121
7.4.4 Quantile analysis of the Fama-French three
factor model..........................................124
7.5 Summary......................................................129
8. Regression Analysis-II
8.1 Introduction....................................................131
8.2 Panel Data Linear Regression................................131
8.2.1 Fixed and Random effects using the pirn
package.................................133
8.2.1.1 Fixed effect estimation....................134
8.2.1.2 Random effect estimation..................136
8.2.1.3 Panel or OLS ..............................137
8.2.1.4 Fixed effect or random effect..............139
8.3 Logistic Regression............................................139
8.4 Example: Economic Growth and Unemployment —
A Panel Analysis..............................................142
8.4.1 Data and methodology..............................142
8.4.2 Data preprocessing ..................143
8.4.3 Linear panel regression analysis....................145
8.5 Summary......................................................151
9. Time Series Analysis 153
9.1 Introduction....................................................153
9.2 Time Series-Some Properties ................................153
9.2.1 Stochastic process....................................153
9.2.2 Stationarity ......................154
9.2.3 Autocorrelation function (ACF)....................157
9.2.4 White noise............................................159
9.3 Autoregressive Moving Average Model (ARMA)............159
9.3.1 Fitting an ARMA model............................161
9.4 Volatility Modelling using Generalised Autoregressive
Conditional Heteroskedasticity (GARCH)..................166
9.4.1 Fitting a GARCH(1,1) model using the rugarch
package................................................167
9.5 Example: Modelling and Forecasting Daily VaR
using GARCH..................................................175
9.5.1 Data and methodology..............................175
9.5.2 VaR forecasts ........................................178
9.6 Summary......................................................182
10. Extreme Value Theory Modelling 183
10.1 Introduction....................................................183
10.2 EVT and Financial Risk Modelling............ . 183
10.2.1 GPD and POT methods ............................185
10.2.1.1 Sample mean excess plot..................186
10.2.1.2 Estimation of GPD........................187
10.2.1.3 VaR and expected shortfall................191
10.3 EVT and Tail Dependence....................................195
10.3.1 Measures of tail dependence ........................195
10.3.1.1 Asymptotic dependence — the
conventional approach......................197
10.3.1.2 Asymptotic independence — an
alternative measure of dependence .... 198
10.3.2 Estimating % and %: nonparametric
method................................................202
10.4 Example: EVT VaR — A Dynamic Approach..............204
10.4.1 Data and methodology..............................206
10.4.2 VaR forecasts using dynamic EVT model.....207
10.5 Summary......................................................209
11. Introduction to Multivariate Analysis using Copulas 211
11.1 Introduction....................................................211
11.2 Copula..........................................................212
11.2.1 Types of copula......................................213
11.2.1.1 Elliptical copulas ..........................213
11.2.1.2 Archimedean copulas . . . ...............217
11.2.2 Copula selection......................................222
11.3 Multivariate Vine Copulas....................................222
11.3.1 Estimating R-Vine copulas using R................224
11.4 Example: Portfolio VaR Estimation using
Vine Copula....................................................229
11.4.1 Data and methodology..............................229
11.4.2 VaR forecasts using R................................230
11.5 Summary......................................................234
Bibliography 235
Index 243
|
| any_adam_object | 1 |
| author | Singh, Abhay Kumar 1958- Allen, David E. 1948- |
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| bvnumber | BV044018377 |
| classification_rvk | QH 500 |
| classification_tum | MAT 620f |
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| id | DE-604.BV044018377 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T17:51:26Z |
| institution | BVB |
| isbn | 9789813144460 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-029425956 |
| oclc_num | 976029572 |
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| owner | DE-91G DE-BY-TUM DE-739 |
| owner_facet | DE-91G DE-BY-TUM DE-739 |
| physical | xvii, 245 Seiten Illustrationen |
| publishDate | 2017 |
| publishDateSearch | 2017 |
| publishDateSort | 2017 |
| publisher | World Scientific |
| record_format | marc |
| spellingShingle | Singh, Abhay Kumar 1958- Allen, David E. 1948- R in finance and economics a beginner's guide Wirtschaftswissenschaften (DE-588)4066528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd R Programm (DE-588)4705956-4 gnd |
| subject_GND | (DE-588)4066528-8 (DE-588)4017195-4 (DE-588)4705956-4 |
| title | R in finance and economics a beginner's guide |
| title_auth | R in finance and economics a beginner's guide |
| title_exact_search | R in finance and economics a beginner's guide |
| title_full | R in finance and economics a beginner's guide Abhay Kumar Singh (Edith Cowan University, Australia), David Edmund Allen (University of Sydney, Australia) |
| title_fullStr | R in finance and economics a beginner's guide Abhay Kumar Singh (Edith Cowan University, Australia), David Edmund Allen (University of Sydney, Australia) |
| title_full_unstemmed | R in finance and economics a beginner's guide Abhay Kumar Singh (Edith Cowan University, Australia), David Edmund Allen (University of Sydney, Australia) |
| title_short | R in finance and economics |
| title_sort | r in finance and economics a beginner s guide |
| title_sub | a beginner's guide |
| topic | Wirtschaftswissenschaften (DE-588)4066528-8 gnd Finanzmathematik (DE-588)4017195-4 gnd R Programm (DE-588)4705956-4 gnd |
| topic_facet | Wirtschaftswissenschaften Finanzmathematik R Programm |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029425956&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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