03125nam 2200661Ia 450 991014077730332120220127091800.01-282-70783-397866127078340-470-64456-70-470-64455-9(CKB)2670000000034637(EBL)565117(SSID)ssj0000411775(PQKBManifestationID)11250322(PQKBTitleCode)TC0000411775(PQKBWorkID)10365217(PQKB)10872589(MiAaPQ)EBC565117(CaSebORM)9781118017098(OCoLC)777632214(PPN)185056571(OCoLC)778357027(OCoLC)ocn778357027 (EXLCZ)99267000000003463720100205d2010 uy 0engurcn|||||||||txtrdacontentcrdamediacrrdacarrierAnalysis of financial time series /Ruey S. Tsay3rd editionHoboken, NJ Wileyc20101 online resource (713 p.)Wiley series in probability and statistics1-118-01709-9 0-470-41435-9 Includes bibliographical references and index.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 Models10 Multivariate Volatility Models and Their Applications11 State-Space Models and Kalman Filter; 12 Markov Chain Monte Carlo Methods with Applications; IndexThis 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 fWiley series in probability and statistics.Time-series analysisEconometricsRisk managementTime-series analysis.Econometrics.Risk management.332.01/51955Tsay Ruey S.1951-294061MiAaPQMiAaPQMiAaPQBOOK9910140777303321Analysis of financial time series37767UNINA