Bee Dagum, Estela

Estela Bee Dagum

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STATISTICA, anno LXII, n. 2, 2002RECENSIONI E SEGNALAZIONI BIBLIOGRAFICHENGAI HANG CHAN, Time Series: Applications to Finance, Wiley, New York, 2002,pp. 224.This textbook deals with the time series analysis of financial data, mainly ad-dressed to practitioners of diversified backgrounds with the common interest ofanalyzing financial time series in a statistical manner. In order to achieve this goal,the text offers a balance between theory and applications.The first five chapters cover standard topics in time series such as, trends, sea-sonal cycles, probability models, Autoregressive Moving Average models(ARMA), ARIMA and seasonal ARIMA. Chapter 6 and 7 deal briefly with fore-casting following the Box and Jenkins approach, and some concepts of spectralanalysis, respectively.The last six chapters are devoted to more recent developments in time seriesmodeling, such as univariate and multivariate GARCH, state space modeling,cointegration and common trends, all with applications to real life financial series.The most distinctive feature of this textbook is that the examples are illustratedthrough SPLUS programs, with detailed analyses and explanations of the SPLUScommands. Therefore, readers will be able to reproduce the analyses by replicat-ing some of the empirical cases and test alternative models to facilitate an under-standing of the subject.Estela Bee DagumR. ELSTON, J. OLSON, L. PALMER (Eds), Biostatistical Genetics and Genetic Epide-miology, Wiley, New York, 2002, pp. XIX + 801.Negli ultimi venti anni la genetica e la biologia molecolare hanno contribuitosignificativamente al progresso scientifico-medico attraverso lo studio del genomaumano. Mediante la comprensione della struttura genetica di malattie complesse,la medicina moderna acquisisce le potenzialità per rivoluzionare il trattamento e laprevenzione delle malattie nei prossimi cinquant’anni. La crescente disponibilitàdi dati genetici richiede, quindi, lo sviluppo di metodi statistici appropriati adanalizzare strutture di dati biologici estremamente complesse contribuendo ad uncrescente sviluppo della biostatistica e dell’epidemiologia.Questo volume è parte di una serie destinata ad affiancare la prestigiosa Enci-clopedia in Biostatistics, poichè la natura di quest’ultima la rende non adatta ad

Ngai Hang Chan, "Time series: applications to finance"

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