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    5. R語言:深入淺出財經計量

    R語言:深入淺出財經計量

    Author 何宗武
    Publisher 博碩文化
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    Released
    2017/03/26
    Language
    Traditional Chinese
    File format
    PDF (60MB), fit in large screen and Pubook
    Pages
    448
    ID
    140104
    ISBN
    9789864341948
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    • Intro

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    • Author

    R所提供的統計與繪圖功能非常完整且豐富,不因它是個免費的軟體而有絲毫遜色,特別是種類多元的視覺化繪圖功能,本書重點在於以經濟計量方法和數量財務兩塊的模型作主軸撰寫,除了門檻模式(Threshold)和多變量GARCH,也包括作者自行開發的套件pdR(Panel Data Regression)和iClick。此外,書中也著重解決問題的程式設計,不只是介紹函數呼叫自己而已。

    本書為您一一整理函數計算與範例程式說明以及圖表的介紹,讀者可以透過「概念說明」及「實例」操作來處理數據分析,並從資料分析、統計方法、數量財務專題等三個領域介紹實用的範例,讓你在最短時間可以操作R語言。

    本書特色
    ★ 認識資料分析的統計原則
    ★ 探討經濟計量的R程式說明
    ★ 概念說明財經計量方法
    ★ 財經計量方法的實例操作
    More
    More
    Part 1 資料分析初步

    Chapter 0 最簡單的統計分析原理
    0.1 統計分析原理
    0.2 函數原理和資料分析
    0.3 再進一步

    Chapter 1 R 的基本環境與Installation
    1.1 R 與網路資源
    1.2 裝置系統程式
    1.3 更改語言模式

    Chapter 2 R 的IDE 模式
    2.1 R Commander
    2.2 Deducer
    2.3 RStudio

    Chapter 3 資料結構和基礎處理
    3.1 R 的資料結構(data structure)
    3.2 資料處理(data manipulation)

    Chapter 4 資料存取和基本處理
    4.1 外部資料讀取
    4.2 資料之基本統計分析, library(fBasics)
    4.3 網路資料下載
    4.4 資料庫讀取--MySQL範例
    4.5 資料表處理的函數

    Chapter 5 探索性資料分析和視覺化
    5.1 資料性質之視覺化分析
    5.2 繪圖函數plot()
    5.3 3D 立體繪圖
    5.4 Imaging Correlation 相關性影像圖
    5.5 lattice 和Multi-way
    5.6 Map
    5.7 其他

    Part 2 經濟計量方法

    Chapter 6 迴歸分析方法
    6.1 基礎線性迴歸原理--最小平方法
    6.2 單變數線性迴歸
    6.3 連續變數線性複迴歸
    6.4 因子和交互效果
    6.5 迴歸診斷檢定
    6.6 簡單時間序列迴歸:dynlm()
    6.7 線性重合檢定

    Chapter 7 時間序列入門
    7.1 時間序列性質
    7.2 時間序列資料建立與繪圖
    7.3 單筆時間序列性質
    7.4 ARMA process
    7.5 序列相關與檢定
    7.6 時間序列預測
    7.7 ARIMA 和Seasonal ARIMA 的自動配置
    7.8 VAR 多變量

    Chapter 8 波動分析
    8.1 單變量GARCH 原理
    8.2 簡單單變量GARCH, 套件tseries
    8.3 超專業GARCH 套件, rugarch
    8.4 多變量GARCH, 套件rmgarch

    Chapter 9 非定態時間序列
    9.1 單根問題
    9.2 共整分析
    9.3 具門檻的單根過程

    Chapter 10 時間序列之結構變動
    10.1 基本原理認識
    10.2 Bai-Perron (1998, 2003)和Zeileis et al. (2003, 2010) 的方法

    Part 3 數量財務專題

    Chapter 11 價差與計量套利
    11.1 價差原理
    11.2 風險溢酬的進階應用

    Chapter 12 R 的金融工具箱
    12.1 時間序列物件三大套件
    12.2 fBasics 套件的財務時間序列性質摘要
    12.3 fAssets 套件的風險與報酬
    12.4 PerformanceAnalytics 套件的績效指標
    12.5 quantmod 套件的技術分析
    12.6 程式撰寫簡單技巧

    Chapter 13 風險與投資組合分析
    13.1 資產選擇初步
    13.2 多角化投資組合與回測

    Chapter 14 金融大數據的處理
    14.1 bigmemory
    14.2 FF
    14.3 bigmemory測試範例
    14.4 高頻率時間序列的時間格式

    Appendix A 廣義線性模式GLM
    A.1 二元變數之Probit/Logit GLM
    A.2 多元排序變數之Probit/Logit GLM
    A.3 計數型變數之Poisson GLM
    A.4 多元選擇 GLM—Multinomial Probit/Logit
    More
    何宗武

    現職
    世新大學特聘教授
    世新大學財務金融學系 教授

    學歷
    美國猶他大學(University of Utah)經濟學 博士

    專長
    國際金融、資產定價、應用數量方法

    經歷
    世新大學財務金融學系 教授
    世新大學財務金融學系 副教授
    More

    Details

    Released
    2017/03/26
    Language
    Traditional Chinese
    File format
    PDF: Fit in large screen
    Provide Adobe DRM
    Provide PDF
    Offer DRM free license
    No
    ID
    140104
    ISBN
    9789864341948

    繪圖

    統計

    R語言

    Buy products firstAnd download app to watch

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    See more 博碩文化

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