Analysis of financial time series [[electronic resource] ] : financial econometrics / / Ruey S. Tsay

• Autore: Tsay Ruey S. <1951->
• Pubblicazione: New York ; ; [Great Britain], : Wiley, c2002
• Descrizione fisica: 1 online resource (462 p.)
• Disciplina: 332/.01/5195; 519.55
• Soggetto topico: Time-series analysis; Econometrics; Risk management
• Note generali: "A Wiley-Interscience publication."
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: 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
• Sommario/riassunto: 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.
• Titolo autorizzato: Analysis of financial time series
• ISBN: 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
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 996201886203316
• Lo trovi qui: Univ. di Salerno
• Serie: Wiley series in probability and statistics.