5.6 Further Reading: Descriptive Statistics

(Fama 1976) is the first book that provides a comprehensive descriptive statistical analysis of asset returns. Much of the material in this chapter, and this book, is motivated by Fama’s book. Several recent textbooks discuss exploratory data analysis of finance time series. This discussion in this chapter is similar to that presented in (Carmona 2014), (Jondeau, Poon, and Rockinger 2007), (Ruppert and Matteson 2015), (Tsay 2010), (Tsay 2014), and (Zivot 2016).

• Mention books by Carol Alexander

• Mention R packages for descriptive statistics: dataExplorer,

References

Carmona, R. 2014. Statistical Analysis of Financial Data in R, Second Edition. New York: Springer.

Fama, E. F. 1976. Foundations of Finance. New York: Basic Books.

Jondeau, E., S.-H. Poon, and M. Rockinger. 2007. Financial Modeling Under Non-Gaussian Distributions. New York: Springer.

Ruppert, D., and D. S. Matteson. 2015. Statistics and Data Analysis for Financial Engineering with R Examples. New York: Springer.

Tsay, R. 2010. Analysis of Financial Time Serie. Wiley.

Tsay, R. 2014. An Introduction to Analysis of Financial Time Series. Wiley.

Zivot, E. 2016. Modeling Financial Time Series with R. New York: Springer.