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Record Nr. |
UNISA996201886203316 |
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Autore |
Tsay Ruey S. <1951-> |
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Titolo |
Analysis of financial time series [[electronic resource] ] : financial econometrics / / Ruey S. Tsay |
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Pubbl/distr/stampa |
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New York ; ; [Great Britain], : Wiley, c2002 |
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ISBN |
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1-280-36697-4 |
0-471-74618-5 |
9786610278220 |
1-280-27822-6 |
0-471-74619-3 |
0-471-69074-0 |
9786610366972 |
0-471-26410-5 |
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Descrizione fisica |
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1 online resource (462 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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Note generali |
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"A Wiley-Interscience publication." |
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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; 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, Quantile Estimation, and Value at Risk; 8. Multivariate Time Series Analysis and Its Applications; 9. Multivariate Volatility Models and Their Applications; 10. Markov Chain Monte Carlo Methods with Applications; Index |
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Sommario/riassunto |
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Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It |
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