03252nam 2200805Ia 450 99620188620331620170810191625.01-280-36697-40-471-74618-597866102782201-280-27822-60-471-74619-30-471-69074-097866103669720-471-26410-5(CKB)111087027126474(EBL)159852(OCoLC)52789098(SSID)ssj0000102942(PQKBManifestationID)11132809(PQKBTitleCode)TC0000102942(PQKBWorkID)10060895(PQKB)10296491(SSID)ssj0001074164(PQKBManifestationID)11690795(PQKBTitleCode)TC0001074164(PQKBWorkID)11213161(PQKB)10487015(SSID)ssj0000102941(PQKBManifestationID)12016572(PQKBTitleCode)TC0000102941(PQKBWorkID)10061334(PQKB)11585978(MiAaPQ)EBC238779(MiAaPQ)EBC159852(PPN)136945198(EXLCZ)9911108702712647420030805d2002 uy 0engur|n|---|||||txtccrAnalysis of financial time series[electronic resource] financial econometrics /Ruey S. TsayNew York ;[Great Britain] Wileyc20021 online resource (462 p.)Wiley series in probability and statistics"A Wiley-Interscience publication."0-471-46161-X 0-471-41544-8 Includes bibliographical references and index.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 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 utilizes real-world examples and real financial data throughout the book to apply the models and methods described.Wiley series in probability and statistics.Time-series analysisEconometricsRisk managementTime-series analysis.Econometrics.Risk management.332/.01/5195519.55Tsay Ruey S.1951-294061MiAaPQMiAaPQMiAaPQBOOK996201886203316Analysis of financial time series37767UNISA