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Analysis of financial time series / / Ruey S. Tsay



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Autore: Tsay Ruey S. <1951-> Visualizza persona
Titolo: Analysis of financial time series / / Ruey S. Tsay Visualizza cluster
Pubblicazione: Hoboken, NJ, : Wiley, c2010
Edizione: 3rd edition
Descrizione fisica: 1 online resource (713 p.)
Disciplina: 332.01/51955
Soggetto topico: Time-series analysis
Econometrics
Risk management
Nota di bibliografia: Includes bibliographical references and index.
Nota di contenuto: 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
Sommario/riassunto: 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-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
Titolo autorizzato: Analysis of financial time series  Visualizza cluster
ISBN: 1-282-70783-3
9786612707834
0-470-64456-7
0-470-64455-9
Formato: Materiale a stampa
Livello bibliografico Monografia
Lingua di pubblicazione: Inglese
Record Nr.: 9910140777303321
Lo trovi qui: Univ. Federico II
Opac: Controlla la disponibilità qui
Serie: Wiley series in probability and statistics.