Analysis of financial time series / Ruey S. Tsay.

Format:

Book

Author/Creator:

Tsay, Ruey S., 1951-

Series:

Wiley series in probability and statistics.

Wiley series in probability and statistics

Language:

English

Subjects (All):

Time-series analysis.

Econometrics.

Risk management.

Physical Description:

1 online resource (713 p.)

Edition:

3rd edition

Place of Publication:

Hoboken, NJ : Wiley, c2010.

System Details:

text file

Summary:

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time seriesThe return series of multiple assetsBayesian inference in finance methods Key f

Contents:

Analysis of Financial Time Series; Contents; Preface; Preface to the Second Edition; Preface to the First Edition; 1 Financial Time Series and Their Characteristics; 2 Linear Time Series Analysis and Its Applications; 3 Conditional Heteroscedastic Models; 4 Nonlinear Models and Their Applications; 5 High-Frequency Data Analysis and Market Microstructure; 6 Continuous-Time Models and Their Applications; 7 Extreme Values, Quantiles, and Value at Risk; 8 Multivariate Time Series Analysis and Its Applications; 9 Principal Component Analysis and Factor Models

10 Multivariate Volatility Models and Their Applications11 State-Space Models and Kalman Filter; 12 Markov Chain Monte Carlo Methods with Applications; Index

Notes:

Includes bibliographical references and index.

ISBN:

9786612707834

9781282707832

1282707833

9780470644560

0470644567

9780470644553

0470644559

OCLC:

777632214