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Record Nr. |
UNINA9910140777303321 |
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Autore |
Tsay Ruey S. <1951-> |
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Titolo |
Analysis of financial time series / / Ruey S. Tsay |
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Pubbl/distr/stampa |
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Hoboken, NJ, : Wiley, c2010 |
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ISBN |
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9786612707834 |
9781282707832 |
1282707833 |
9780470644560 |
0470644567 |
9780470644553 |
0470644559 |
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Edizione |
[3rd edition] |
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Descrizione fisica |
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1 online resource (713 p.) |
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Collana |
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Wiley series in probability and statistics |
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Disciplina |
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Soggetti |
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Time-series analysis |
Econometrics |
Risk management |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Nota di bibliografia |
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Includes bibliographical references and index. |
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Nota di contenuto |
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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 |
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Sommario/riassunto |
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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- |
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