LEADER 03125nam 2200661Ia 450 001 9910140777303321 005 20220127091800.0 010 $a1-282-70783-3 010 $a9786612707834 010 $a0-470-64456-7 010 $a0-470-64455-9 035 $a(CKB)2670000000034637 035 $a(EBL)565117 035 $a(SSID)ssj0000411775 035 $a(PQKBManifestationID)11250322 035 $a(PQKBTitleCode)TC0000411775 035 $a(PQKBWorkID)10365217 035 $a(PQKB)10872589 035 $a(MiAaPQ)EBC565117 035 $a(CaSebORM)9781118017098 035 $a(OCoLC)777632214 035 $a(PPN)185056571 035 $a(OCoLC)778357027 035 $a(OCoLC)ocn778357027 035 $a(EXLCZ)992670000000034637 100 $a20100205d2010 uy 0 101 0 $aeng 135 $aurcn||||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aAnalysis of financial time series /$fRuey S. Tsay 205 $a3rd edition 210 $aHoboken, NJ $cWiley$dc2010 215 $a1 online resource (713 p.) 225 1 $aWiley series in probability and statistics 311 $a1-118-01709-9 311 $a0-470-41435-9 320 $aIncludes bibliographical references and index. 327 $aAnalysis 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 327 $a10 Multivariate Volatility Models and Their Applications11 State-Space Models and Kalman Filter; 12 Markov Chain Monte Carlo Methods with Applications; Index 330 8 $aThis book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time seriesThe return series of multiple assetsBayesian inference in finance methods Key f 410 0$aWiley series in probability and statistics. 606 $aTime-series analysis 606 $aEconometrics 606 $aRisk management 615 0$aTime-series analysis. 615 0$aEconometrics. 615 0$aRisk management. 676 $a332.01/51955 700 $aTsay$b Ruey S.$f1951-$0294061 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910140777303321 996 $aAnalysis of financial time series$937767 997 $aUNINA