Analyzing financial and economic data with R:
Gespeichert in:
1. Verfasser: | |
---|---|
Format: | Buch |
Sprache: | English |
Veröffentlicht: |
[s.l.]
Independently Published
2020
|
Ausgabe: | second edition |
Schlagworte: | |
Online-Zugang: | Inhaltsverzeichnis Klappentext |
Beschreibung: | 493 Seiten Diagramme |
ISBN: | 9781710627312 |
Internformat
MARC
LEADER | 00000nam a2200000 c 4500 | ||
---|---|---|---|
001 | BV046784137 | ||
003 | DE-604 | ||
005 | 20210705 | ||
007 | t | ||
008 | 200629s2020 |||| |||| 00||| eng d | ||
020 | |a 9781710627312 |9 978-1-71062-731-2 | ||
035 | |a (OCoLC)1193294807 | ||
035 | |a (DE-599)BVBBV046784137 | ||
040 | |a DE-604 |b ger |e rakwb | ||
041 | 0 | |a eng | |
049 | |a DE-526 |a DE-384 | ||
084 | |a QH 234 |0 (DE-625)141549: |2 rvk | ||
100 | 1 | |a Perlin, Marcelo Scherer |e Verfasser |0 (DE-588)1133582540 |4 aut | |
245 | 1 | 0 | |a Analyzing financial and economic data with R |c Marcelo S. Perlin |
250 | |a second edition | ||
264 | 1 | |a [s.l.] |b Independently Published |c 2020 | |
300 | |a 493 Seiten |b Diagramme | ||
336 | |b txt |2 rdacontent | ||
337 | |b n |2 rdamedia | ||
338 | |b nc |2 rdacarrier | ||
650 | 0 | 7 | |a Ökonometrie |0 (DE-588)4132280-0 |2 gnd |9 rswk-swf |
650 | 0 | 7 | |a R |g Programm |0 (DE-588)4705956-4 |2 gnd |9 rswk-swf |
650 | 0 | 7 | |a Finanzanalyse |0 (DE-588)4133000-6 |2 gnd |9 rswk-swf |
650 | 0 | 7 | |a Statistik |0 (DE-588)4056995-0 |2 gnd |9 rswk-swf |
689 | 0 | 0 | |a Finanzanalyse |0 (DE-588)4133000-6 |D s |
689 | 0 | 1 | |a Statistik |0 (DE-588)4056995-0 |D s |
689 | 0 | 2 | |a Ökonometrie |0 (DE-588)4132280-0 |D s |
689 | 0 | 3 | |a R |g Programm |0 (DE-588)4705956-4 |D s |
689 | 0 | |5 DE-604 | |
856 | 4 | 2 | |m Digitalisierung UB Augsburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032193235&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
856 | 4 | 2 | |m Digitalisierung UB Augsburg - ADAM Catalogue Enrichment |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032193235&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |3 Klappentext |
999 | |a oai:aleph.bib-bvb.de:BVB01-032193235 |
Datensatz im Suchindex
_version_ | 1804181568101548032 |
---|---|
adam_text | Contents About New Edition Revision 2021 .......................................................................................... 11 12 Preface Supplement Material............................................................................. Content for Instructors.......................................................................... 13 15 16 1 Introduction 1.1 What is R...................................................................................... 1.2 Why Choose R............................................................................. 1.3 What Can You Do With R and RStudio?............................... 1.4 Installing R.................................................................................... 1.5 Installing RStudio ........................................................................ 1.6 Resources in the Web ................................................................. 1.7 Structure and Organization........................................................ 1.8 Exercises ...................................................................................... 17 18 18 19 21 24 25 25 27 2 Basic Operations in R 2.1 Working With R.......................................................................... 2.2 Objects in R ................................................................................ 2.3 International and Local Formats .............................................. 2.4 Types of Files in R....................................................................... 2.5 Explaining the RStudio
Screen.................................................. 2.6 R Packages................................................................................... 2.6.1 Installing Packages from CRAN ................................. 2.6.2 Installing Packages from Github ................................. 2.6.3 Loading Packages ........................................................... 2.6.4 Upgrading Packages........................................................ 2.7 Running Scripts from RStudio .................................................. 31 31 33 34 35 36 39 42 42 43 45 46 3
4 CONTENTS 2.7.1 RStudio shortcuts ........................................................... Testing and Debugging Code..................................................... Creating Simple Objects.............................................................. Creating Vectors.......................................................................... Knowing Your Environment and Objects.................................. Displaying and Formatting Output........................................... 2.12.1 Customizing the Output................................................. Finding the Size of Objects........................................................ Selecting Elements from an Atomic Vector............................... Removing Objects from the Memory........................................ Displaying and Setting the Working Directory......................... Canceling Code Execution........................................................... Code Comments .......................................................................... Looking for Help.......................................................................... Using Code Completion with tab.............................................. Interacting with Files and the Operating System................... 2.21.1 Listing Files and Folders................................................. 2.21.2 Deleting Files and Directories........................................ 2.21.3 Downloading Files from the Internet............................ 2.21.4 Using Temporary Files and Directories......................... Exercises
...................................................................................... 48 49 51 52 53 55 57 59 62 65 66 68 69 71 72 76 76 79 80 81 82 3 Writing Research Scripts 3.1 Stages of Research....................................................................... 3.2 Folder Structure .......................................................................... 3.3 Important Aspects of a Research Script .................................. 3.4 Exercises ...................................................................................... 85 85 87 90 92 2.8 2.9 2.10 2.11 2.12 2.13 2.14 2.15 2.16 2.17 2.18 2.19 2.20 2.21 2.22 4 Importing Data from Local Files 93 4.1 csv files......................................................................................... 94 4.1.1 Importing Data................................................................. 97 4.1.2 Exporting Data....................................................................101 4.2 Excel Files (xls and xlsx).................................................................102 4.2.1 Importing Data....................................................................103 4.2.2 Exporting Data....................................................................104 4.3 RData and rds Files .......................................................................107 4.3.1 Importing Data.................................................................... 107 4.3.2 Exporting Data.................................................................... 108 4.4 fst
files................................................................................................109 4.4.1 Importing Data....................................................................110 4.4.2 Exporting Data.................................................................... 110 4.4.3 Timing the fst format........................................................110 4.5 SQLite Files...................................................................................... 112
CONTENTS 4.6 4.7 4.8 б 4.5.1 Importing Data.................................................................... 113 4.5.2 Exporting Data.................................................................... 114 Unstructured Data and Other Formats........................................ 115 4.6.1 Importing Data.................................................................... 116 4.6.2 Exporting Data.................................................................... 117 How to Select a Format.................................................................118 Exercises ..........................................................................................119 СЛ СД 5 Importing Data from the Internet 121 5.1 Package GetQuandlData.................................................................121 5.2 Package BatchGetSymbols..............................................................127 5.3 Package simf inR............................................................................. 133 5.3.1 Example 01 - Apple Inc Annual Profit............................134 5.3.2 Example 02 - Quarterly Net Profit of Many Companies 137 5.3.3 Example 03: Fetching price data..................................... 139 .4 Package tidyquant......................................................................... 140 .5 Package Rbitcoin......................................................................... 142 5.6 Other Packages................................................................................ 144 5.7 Accessing Data from Web Pages (webscraping) 144 5.7.1 Scraping the Components
of the SP500 Index from Wikipedia............................................................................. 145 5.7.2 Scraping the Website of the Reserve Bank of Australia 147 5.8 Exercises ..........................................................................................149 6 Dataframes and other objects 153 6.1 Dataframes...................................................................................... 154 6.1.1 Creating dataframes ........................................................154 6.1.2 Inspecting a Dataframe.................................................... 156 6.1.3 The pipeline Operator (% ’/,).............................................. 158 6.1.4 Accessing Columns..............................................................159 6.1.5 Modifying a dataframe.................................................... 162 6.1.6 Filtering rows of a dataframe........................................... 164 6.1.7 Sorting a dataframe...........................................................165 6.1.8 Combining and Aggregatingdataframes ....................... 168 6.1.9 Extensions of the dataframe Class................................... 172 6.1.10 Other Useful Functions for Handling dataframes . . . 175 6.2 Lists................................................................................................177 6.2.1 Creating lists.................................................................... 177 6.2.2 Accessing the Elements of a list..................................... 179 6.2.3 Adding and Removing Elements from a list............... 182 6.2.4
Processing the Elements of a list................................... 184 6.2.5 Other Useful Functions .................................................... 185 6.3 Matrices..........................................................................................186
6 CONTENTS 6.3.1 Selecting Elements from a matrix .................................. 189 6.3.2 Other Useful Functions .................................................... 191 6.4 Exercises .......................................................................................... 193 7 Basic Object Classes 195 7.1 Numeric Objects............................................................................. 195 7.1.1 Creating and Manipulating numeric Objects............... 196 7.1.2 Creating a numeric Sequence........................................... 198 7.1.3 Creating Vectors with Repeated Elements......................199 7.1.4 Creating Vectors with Random Numbers.........................199 7.1.5 Accessing the Elements of a numeric Vector.................. 204 7.1.6 Modifying and Removing Elements of a numeric Vector206 7.1.7 Creating Groups.................................................................207 7.1.8 Other Useful Functions .................................................... 209 7.2 Character Objects.......................................................................... 211 7.2.1 Creating a Simple character Object...............................211 7.2.2 Creating Structured character Objects........................ 212 7.2.3 character Constants ....................................................... 213 7.2.4 Selecting Pieces of a Text Object..................................... 214 7.2.5 Finding and Replacing Characters of a Text.................. 215 7.2.6 Splitting Text.......................................................................218 7.2.7
Finding the Number of Characters in a Text ............... 219 7.2.8 Generating Combinations of Text.....................................220 7.2.9 Encoding of character Objects .....................................221 7.2.10 Other Useful Functions .................................................... 222 7.3 Factor Objects................................................................................ 223 7.3.1 Creating factors ..............................................................223 7.3.2 Modifying factors............................................................. 224 7.3.3 Converting factors to Other Classes ............................226 7.3.4 Creating Contingency Tables........................................... 227 7.3.5 Other Useful Functions .................................................... 228 7.4 Logical Objects............................................................................. 229 7.4.1 Creating logical Objects................................................. 229 7.5 Date and Time................................................................................ 232 7.5.1 Creating Simple Dates....................................................... 232 7.5.2 Creating a Sequence of Dates........................................... 234 7.5.3 Operations with Dates....................................................... 236 7.5.4 Dealing with Time..............................................................238 7.5.5 Customizing the Format of Dates and Times............... 239 7.5.6 Extracting Elements of a
Date........................................241 7.5.7 Find the Current Date and Time.....................................242 7.5.8 Other Useful Functions .................................................... 243
CONTENTS 7.6 7.7 Missing Data - NA (Not available)................................................. 246 7.6.1 Defining NA Values..............................................................246 7.6.2 Finding and Replacing NA................................................. 247 7.6.3 Other Useful Functions .................................................... 249 Exercises ......................................................................................... 249 8 Programming and Data Analysis 253 8.1 R Functions...................................................................................... 253 8.2 Using for Loops............................................................................. 263 8.3 Conditional Statements (if, else, switch)...............................270 8.4 Using apply Functions....................................................................274 8.4.1 Using lapply.......................................................................274 8.4.2 Using sapply.......................................................................277 8.4.3 Using tapply.......................................................................280 8.4.4 Using mapply....................................................................... 283 8.4.5 Using apply.......................................................................... 284 8.4.6 Using by................................................................................ 285 8.5 Using package purrr....................................................................... 287 8.5.1 Function
map_*....................................................................287 8.5.2 Function safely.................................................................288 8.5.3 Function pmap ....................................................................291 8.6 Data Manipulation with Package dplyr.....................................294 8.6.1 Group Operations with dplyr........................................... 294 8.6.2 Complex Group Operations with dplyr.........................297 8.7 Exercises ......................................................................................... 299 9 Cleaning and Structuring Data 301 9.1 The Format of a dat af rame...........................................................ЗОЇ 9.1.1 Converting a dataf rame Structure (long and wide) . . 303 9.2 Converting lists into dataframes.............................................. 305 9.3 Removing Outliers..........................................................................310 9.3.1 Treating Outliers in dataframes..................................... 313 9.4 Inflation and Price Data.................................................................317 9.5 Modifying Time Frequency and Aggregating Data .................. 319 9.6 Exercises ......................................................................................... 320 10 Creating and Saving Figures with ggplot2 323 10.1 The ggplot2 Package....................................................................324 10.2 Using Graphics Windows ..............................................................325 10.3 Creating Figures with
Function qplot........................................326 10.4 Creating Figures with Function ggplot .....................................328 10.4.1 The US Yield Curve.......................................................... 334 10.5 Using Themes................................................................................... 339
CONTENTS 10.6 Creating Panels with facet_wrap................................................. 344 10.7 Using the Pipeline.......................................................................... 348 10.8 Creating Statistical Graphics....................................................... 351 10.8.1 Creating Histograms.......................................................... 351 10.8.2 Creating boxplot Figures.................................................... 355 10.8.3 Creating QQ Plots..............................................................358 10.9 Saving Graphics to a File............................................................. 361 lO.lOExercises ......................................................................................... 362 11 Financial Econometrics with R 365 11.1 Linear Models (OLS).......................................................................366 11.1.1 Simulating a Linear Model .............................................. 366 11.1.2 Estimating a Linear Model .............................................. 368 11.1.3 Statistical Inference in Linear Models ............................376 11.2 Generalized Linear Models (GLM).............................................. 382 11.2.1 Simulating a GLM Model................................................. 383 11.2.2 Estimating a GLM Model................................................. 384 11.3 Panel Data Models..........................................................................389 11.3.1 Simulating Panel Data Models........................................ 389 11.3.2 Estimating
Panel Data Models........................................ 392 11.4 Arima Models................................................................................... 398 11.4.1 Simulating Arima Models................................................. 399 11.4.2 Estimating Arima Models................................................. 400 11.4.3 Forecasting Arima Models................................................. 403 11.5 G ARCH Models .............................................................................404 11.5.1 Simulating Garch Models................................................. 404 11.5.2 Estimating Garch Models................................................. 407 11.5.3 Forecasting Garch Models................................................. 410 11.6 Regime Switching Models............................................................. 411 11.6.1 Simulating Regime Switching Models...............................413 11.6.2 Estimating Regime Switching Models ............................417 11.6.3 Forecasting Regime Switching Models............................420 11.7 Dealing with Several Models.......................................................... 421 11.7.1 Using tapply and sapply................................................. 421 11.7.2 Using by................................................................................ 422 11.7.3 Using dplyr : : group_by.................................................... 425 11.8 Exercises ......................................................................................... 426 12 Reporting Results 429 12.1
Reporting Tables.............................................................................430 12.2 Reporting Models.............................................................................433 12.3 Creating Reports with RMarkdown.............................................. 435 12.4 Exercises ......................................................................................... 441
CONTENTS 9 13 Optimizing Code 443 13.1 Optimizing your Programming Time............................................ 443 13.2 Optimizing Code Speed.................................................................447 13.2.1 Profiling Code ....................................................................44g 13.2.2 Simple Strategies to Improve Code Speed.................. 452 13.2.3 Using CH—Ւ code (package Repp)..................................454 13.2.4 Using cache (package memoise)........................................456 13.3 Exercises ...........................................................................................
ANALYZING FINANCIAL AND ECONOMIC DATA WITH second edition This book introduces the reader to the use of R and RStudio as a platform for analyzing financial and economic data. The book covers all necessary knowledge for using R, from its installation in your computer to the organization and development of scripts. For every chapter, the book presents practical and replicable ex amples of R code, providing context and facilitating the learning process. Based on the material, the reader will learn how to download financial and economic data from local files or the Internet, ma nipulate it in R, and create tables and figures to report the results in a technical document. The book is organized based on the author s practical experience in scientific research and includes instructions for using the best R packages for each purpose, such as xtable and texreg for reporting tables, dplyr in data processing, and ggplot2 in creating figures. This book is recommended for researchers and students interested in learning how to use R. No prior knowledge of programming is required to take advantage of this book. After finishing, the reader will have enough knowledge to develop their own scripts autonomously, producing academic documents or data analysis for public and private institutions.
|
adam_txt |
Contents About New Edition Revision 2021 . 11 12 Preface Supplement Material. Content for Instructors. 13 15 16 1 Introduction 1.1 What is R. 1.2 Why Choose R. 1.3 What Can You Do With R and RStudio?. 1.4 Installing R. 1.5 Installing RStudio . 1.6 Resources in the Web . 1.7 Structure and Organization. 1.8 Exercises . 17 18 18 19 21 24 25 25 27 2 Basic Operations in R 2.1 Working With R. 2.2 Objects in R . 2.3 International and Local Formats . 2.4 Types of Files in R. 2.5 Explaining the RStudio
Screen. 2.6 R Packages. 2.6.1 Installing Packages from CRAN . 2.6.2 Installing Packages from Github . 2.6.3 Loading Packages . 2.6.4 Upgrading Packages. 2.7 Running Scripts from RStudio . 31 31 33 34 35 36 39 42 42 43 45 46 3
4 CONTENTS 2.7.1 RStudio shortcuts . Testing and Debugging Code. Creating Simple Objects. Creating Vectors. Knowing Your Environment and Objects. Displaying and Formatting Output. 2.12.1 Customizing the Output. Finding the Size of Objects. Selecting Elements from an Atomic Vector. Removing Objects from the Memory. Displaying and Setting the Working Directory. Canceling Code Execution. Code Comments . Looking for Help. Using Code Completion with tab. Interacting with Files and the Operating System. 2.21.1 Listing Files and Folders. 2.21.2 Deleting Files and Directories. 2.21.3 Downloading Files from the Internet. 2.21.4 Using Temporary Files and Directories. Exercises
. 48 49 51 52 53 55 57 59 62 65 66 68 69 71 72 76 76 79 80 81 82 3 Writing Research Scripts 3.1 Stages of Research. 3.2 Folder Structure . 3.3 Important Aspects of a Research Script . 3.4 Exercises . 85 85 87 90 92 2.8 2.9 2.10 2.11 2.12 2.13 2.14 2.15 2.16 2.17 2.18 2.19 2.20 2.21 2.22 4 Importing Data from Local Files 93 4.1 csv files. 94 4.1.1 Importing Data. 97 4.1.2 Exporting Data.101 4.2 Excel Files (xls and xlsx).102 4.2.1 Importing Data.103 4.2.2 Exporting Data.104 4.3 RData and rds Files .107 4.3.1 Importing Data. 107 4.3.2 Exporting Data. 108 4.4 fst
files.109 4.4.1 Importing Data.110 4.4.2 Exporting Data. 110 4.4.3 Timing the fst format.110 4.5 SQLite Files. 112
CONTENTS 4.6 4.7 4.8 б 4.5.1 Importing Data. 113 4.5.2 Exporting Data. 114 Unstructured Data and Other Formats. 115 4.6.1 Importing Data. 116 4.6.2 Exporting Data. 117 How to Select a Format.118 Exercises .119 СЛ СД 5 Importing Data from the Internet 121 5.1 Package GetQuandlData.121 5.2 Package BatchGetSymbols.127 5.3 Package simf inR. 133 5.3.1 Example 01 - Apple Inc Annual Profit.134 5.3.2 Example 02 - Quarterly Net Profit of Many Companies 137 5.3.3 Example 03: Fetching price data. 139 .4 Package tidyquant. 140 .5 Package Rbitcoin. 142 5.6 Other Packages. 144 5.7 Accessing Data from Web Pages (webscraping) 144 5.7.1 Scraping the Components
of the SP500 Index from Wikipedia. 145 5.7.2 Scraping the Website of the Reserve Bank of Australia 147 5.8 Exercises .149 6 Dataframes and other objects 153 6.1 Dataframes. 154 6.1.1 Creating dataframes .154 6.1.2 Inspecting a Dataframe. 156 6.1.3 The pipeline Operator (% ’/,). 158 6.1.4 Accessing Columns.159 6.1.5 Modifying a dataframe. 162 6.1.6 Filtering rows of a dataframe. 164 6.1.7 Sorting a dataframe.165 6.1.8 Combining and Aggregatingdataframes . 168 6.1.9 Extensions of the dataframe Class. 172 6.1.10 Other Useful Functions for Handling dataframes . . . 175 6.2 Lists.177 6.2.1 Creating lists. 177 6.2.2 Accessing the Elements of a list. 179 6.2.3 Adding and Removing Elements from a list. 182 6.2.4
Processing the Elements of a list. 184 6.2.5 Other Useful Functions . 185 6.3 Matrices.186
6 CONTENTS 6.3.1 Selecting Elements from a matrix . 189 6.3.2 Other Useful Functions . 191 6.4 Exercises . 193 7 Basic Object Classes 195 7.1 Numeric Objects. 195 7.1.1 Creating and Manipulating numeric Objects. 196 7.1.2 Creating a numeric Sequence. 198 7.1.3 Creating Vectors with Repeated Elements.199 7.1.4 Creating Vectors with Random Numbers.199 7.1.5 Accessing the Elements of a numeric Vector. 204 7.1.6 Modifying and Removing Elements of a numeric Vector206 7.1.7 Creating Groups.207 7.1.8 Other Useful Functions . 209 7.2 Character Objects. 211 7.2.1 Creating a Simple character Object.211 7.2.2 Creating Structured character Objects. 212 7.2.3 character Constants . 213 7.2.4 Selecting Pieces of a Text Object. 214 7.2.5 Finding and Replacing Characters of a Text. 215 7.2.6 Splitting Text.218 7.2.7
Finding the Number of Characters in a Text . 219 7.2.8 Generating Combinations of Text.220 7.2.9 Encoding of character Objects .221 7.2.10 Other Useful Functions . 222 7.3 Factor Objects. 223 7.3.1 Creating factors .223 7.3.2 Modifying factors. 224 7.3.3 Converting factors to Other Classes .226 7.3.4 Creating Contingency Tables. 227 7.3.5 Other Useful Functions . 228 7.4 Logical Objects. 229 7.4.1 Creating logical Objects. 229 7.5 Date and Time. 232 7.5.1 Creating Simple Dates. 232 7.5.2 Creating a Sequence of Dates. 234 7.5.3 Operations with Dates. 236 7.5.4 Dealing with Time.238 7.5.5 Customizing the Format of Dates and Times. 239 7.5.6 Extracting Elements of a
Date.241 7.5.7 Find the Current Date and Time.242 7.5.8 Other Useful Functions . 243
CONTENTS 7.6 7.7 Missing Data - NA (Not available). 246 7.6.1 Defining NA Values.246 7.6.2 Finding and Replacing NA. 247 7.6.3 Other Useful Functions . 249 Exercises . 249 8 Programming and Data Analysis 253 8.1 R Functions. 253 8.2 Using for Loops. 263 8.3 Conditional Statements (if, else, switch).270 8.4 Using apply Functions.274 8.4.1 Using lapply.274 8.4.2 Using sapply.277 8.4.3 Using tapply.280 8.4.4 Using mapply. 283 8.4.5 Using apply. 284 8.4.6 Using by. 285 8.5 Using package purrr. 287 8.5.1 Function
map_*.287 8.5.2 Function safely.288 8.5.3 Function pmap .291 8.6 Data Manipulation with Package dplyr.294 8.6.1 Group Operations with dplyr. 294 8.6.2 Complex Group Operations with dplyr.297 8.7 Exercises . 299 9 Cleaning and Structuring Data 301 9.1 The Format of a dat af rame.ЗОЇ 9.1.1 Converting a dataf rame Structure (long and wide) . . 303 9.2 Converting lists into dataframes. 305 9.3 Removing Outliers.310 9.3.1 Treating Outliers in dataframes. 313 9.4 Inflation and Price Data.317 9.5 Modifying Time Frequency and Aggregating Data . 319 9.6 Exercises . 320 10 Creating and Saving Figures with ggplot2 323 10.1 The ggplot2 Package.324 10.2 Using Graphics Windows .325 10.3 Creating Figures with
Function qplot.326 10.4 Creating Figures with Function ggplot .328 10.4.1 The US Yield Curve. 334 10.5 Using Themes. 339
CONTENTS 10.6 Creating Panels with facet_wrap. 344 10.7 Using the Pipeline. 348 10.8 Creating Statistical Graphics. 351 10.8.1 Creating Histograms. 351 10.8.2 Creating boxplot Figures. 355 10.8.3 Creating QQ Plots.358 10.9 Saving Graphics to a File. 361 lO.lOExercises . 362 11 Financial Econometrics with R 365 11.1 Linear Models (OLS).366 11.1.1 Simulating a Linear Model . 366 11.1.2 Estimating a Linear Model . 368 11.1.3 Statistical Inference in Linear Models .376 11.2 Generalized Linear Models (GLM). 382 11.2.1 Simulating a GLM Model. 383 11.2.2 Estimating a GLM Model. 384 11.3 Panel Data Models.389 11.3.1 Simulating Panel Data Models. 389 11.3.2 Estimating
Panel Data Models. 392 11.4 Arima Models. 398 11.4.1 Simulating Arima Models. 399 11.4.2 Estimating Arima Models. 400 11.4.3 Forecasting Arima Models. 403 11.5 G ARCH Models .404 11.5.1 Simulating Garch Models. 404 11.5.2 Estimating Garch Models. 407 11.5.3 Forecasting Garch Models. 410 11.6 Regime Switching Models. 411 11.6.1 Simulating Regime Switching Models.413 11.6.2 Estimating Regime Switching Models .417 11.6.3 Forecasting Regime Switching Models.420 11.7 Dealing with Several Models. 421 11.7.1 Using tapply and sapply. 421 11.7.2 Using by. 422 11.7.3 Using dplyr : : group_by. 425 11.8 Exercises . 426 12 Reporting Results 429 12.1
Reporting Tables.430 12.2 Reporting Models.433 12.3 Creating Reports with RMarkdown. 435 12.4 Exercises . 441
CONTENTS 9 13 Optimizing Code 443 13.1 Optimizing your Programming Time. 443 13.2 Optimizing Code Speed.447 13.2.1 Profiling Code .44g 13.2.2 Simple Strategies to Improve Code Speed. 452 13.2.3 Using CH—Ւ code (package Repp).454 13.2.4 Using cache (package memoise).456 13.3 Exercises .
ANALYZING FINANCIAL AND ECONOMIC DATA WITH second edition This book introduces the reader to the use of R and RStudio as a platform for analyzing financial and economic data. The book covers all necessary knowledge for using R, from its installation in your computer to the organization and development of scripts. For every chapter, the book presents practical and replicable ex amples of R code, providing context and facilitating the learning process. Based on the material, the reader will learn how to download financial and economic data from local files or the Internet, ma nipulate it in R, and create tables and figures to report the results in a technical document. The book is organized based on the author's practical experience in scientific research and includes instructions for using the best R packages for each purpose, such as xtable and texreg for reporting tables, dplyr in data processing, and ggplot2 in creating figures. This book is recommended for researchers and students interested in learning how to use R. No prior knowledge of programming is required to take advantage of this book. After finishing, the reader will have enough knowledge to develop their own scripts autonomously, producing academic documents or data analysis for public and private institutions. |
any_adam_object | 1 |
any_adam_object_boolean | 1 |
author | Perlin, Marcelo Scherer |
author_GND | (DE-588)1133582540 |
author_facet | Perlin, Marcelo Scherer |
author_role | aut |
author_sort | Perlin, Marcelo Scherer |
author_variant | m s p ms msp |
building | Verbundindex |
bvnumber | BV046784137 |
classification_rvk | QH 234 |
ctrlnum | (OCoLC)1193294807 (DE-599)BVBBV046784137 |
discipline | Wirtschaftswissenschaften |
discipline_str_mv | Wirtschaftswissenschaften |
edition | second edition |
format | Book |
fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01871nam a2200409 c 4500</leader><controlfield tag="001">BV046784137</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">20210705 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">200629s2020 |||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">9781710627312</subfield><subfield code="9">978-1-71062-731-2</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)1193294807</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV046784137</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakwb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-526</subfield><subfield code="a">DE-384</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QH 234</subfield><subfield code="0">(DE-625)141549:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Perlin, Marcelo Scherer</subfield><subfield code="e">Verfasser</subfield><subfield code="0">(DE-588)1133582540</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">Analyzing financial and economic data with R</subfield><subfield code="c">Marcelo S. Perlin</subfield></datafield><datafield tag="250" ind1=" " ind2=" "><subfield code="a">second edition</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">[s.l.]</subfield><subfield code="b">Independently Published</subfield><subfield code="c">2020</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">493 Seiten</subfield><subfield code="b">Diagramme</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">R</subfield><subfield code="g">Programm</subfield><subfield code="0">(DE-588)4705956-4</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Finanzanalyse</subfield><subfield code="0">(DE-588)4133000-6</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Statistik</subfield><subfield code="0">(DE-588)4056995-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Finanzanalyse</subfield><subfield code="0">(DE-588)4133000-6</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Statistik</subfield><subfield code="0">(DE-588)4056995-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="2"><subfield code="a">Ökonometrie</subfield><subfield code="0">(DE-588)4132280-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2="3"><subfield code="a">R</subfield><subfield code="g">Programm</subfield><subfield code="0">(DE-588)4705956-4</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Augsburg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032193235&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">Digitalisierung UB Augsburg - ADAM Catalogue Enrichment</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032193235&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Klappentext</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-032193235</subfield></datafield></record></collection> |
id | DE-604.BV046784137 |
illustrated | Not Illustrated |
index_date | 2024-07-03T14:50:55Z |
indexdate | 2024-07-10T08:53:43Z |
institution | BVB |
isbn | 9781710627312 |
language | English |
oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-032193235 |
oclc_num | 1193294807 |
open_access_boolean | |
owner | DE-526 DE-384 |
owner_facet | DE-526 DE-384 |
physical | 493 Seiten Diagramme |
publishDate | 2020 |
publishDateSearch | 2020 |
publishDateSort | 2020 |
publisher | Independently Published |
record_format | marc |
spelling | Perlin, Marcelo Scherer Verfasser (DE-588)1133582540 aut Analyzing financial and economic data with R Marcelo S. Perlin second edition [s.l.] Independently Published 2020 493 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Ökonometrie (DE-588)4132280-0 gnd rswk-swf R Programm (DE-588)4705956-4 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Finanzanalyse (DE-588)4133000-6 s Statistik (DE-588)4056995-0 s Ökonometrie (DE-588)4132280-0 s R Programm (DE-588)4705956-4 s DE-604 Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032193235&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Digitalisierung UB Augsburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032193235&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Klappentext |
spellingShingle | Perlin, Marcelo Scherer Analyzing financial and economic data with R Ökonometrie (DE-588)4132280-0 gnd R Programm (DE-588)4705956-4 gnd Finanzanalyse (DE-588)4133000-6 gnd Statistik (DE-588)4056995-0 gnd |
subject_GND | (DE-588)4132280-0 (DE-588)4705956-4 (DE-588)4133000-6 (DE-588)4056995-0 |
title | Analyzing financial and economic data with R |
title_auth | Analyzing financial and economic data with R |
title_exact_search | Analyzing financial and economic data with R |
title_exact_search_txtP | Analyzing financial and economic data with R |
title_full | Analyzing financial and economic data with R Marcelo S. Perlin |
title_fullStr | Analyzing financial and economic data with R Marcelo S. Perlin |
title_full_unstemmed | Analyzing financial and economic data with R Marcelo S. Perlin |
title_short | Analyzing financial and economic data with R |
title_sort | analyzing financial and economic data with r |
topic | Ökonometrie (DE-588)4132280-0 gnd R Programm (DE-588)4705956-4 gnd Finanzanalyse (DE-588)4133000-6 gnd Statistik (DE-588)4056995-0 gnd |
topic_facet | Ökonometrie R Programm Finanzanalyse Statistik |
url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032193235&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=032193235&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
work_keys_str_mv | AT perlinmarceloscherer analyzingfinancialandeconomicdatawithr |