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Analysis of financial time series / / Ruey S. Tsay
| Analysis of financial time series / / Ruey S. Tsay |
| Autore | Tsay Ruey S. <1951-> |
| Edizione | [3rd edition] |
| Pubbl/distr/stampa | Hoboken, NJ, : Wiley, c2010 |
| Descrizione fisica | 1 online resource (713 p.) |
| Disciplina | 332.01/51955 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Time-series analysis
Econometrics Risk management |
| ISBN |
9786612707834
9781282707832 1282707833 9780470644560 0470644567 9780470644553 0470644559 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| 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 |
| Record Nr. | UNINA-9910140777303321 |
Tsay Ruey S. <1951->
|
||
| Hoboken, NJ, : Wiley, c2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Analysis of financial time series [[electronic resource] ] : financial econometrics / / Ruey S. Tsay
| Analysis of financial time series [[electronic resource] ] : financial econometrics / / Ruey S. Tsay |
| Autore | Tsay Ruey S. <1951-> |
| Pubbl/distr/stampa | New York ; ; [Great Britain], : Wiley, c2002 |
| Descrizione fisica | 1 online resource (462 p.) |
| Disciplina |
332/.01/5195
519.55 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Time-series analysis
Econometrics Risk management |
| 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 | eng |
| 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 |
| Record Nr. | UNISA-996201886203316 |
|
Tsay Ruey S. <1951->
|
||
| New York ; ; [Great Britain], : Wiley, c2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
An introduction to analysis of financial data with R / / Ruey S. Tsay
| An introduction to analysis of financial data with R / / Ruey S. Tsay |
| Autore | Tsay Ruey S. <1951-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2013 |
| Descrizione fisica | XIV, 400 s |
| Disciplina | 332.0285/133 |
| Collana | Wiley Series in Probability and Statistics |
| Soggetto topico |
Finance - Econometric models
Time-series analysis Econometrics R (Computer program language) |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-119-01346-1
1-119-01345-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Cover ; Title Page ; Copyright; Contents ; Preface ; 1: Financial Data and Their Properties ; 1.1 Asset Returns ; 1.2 Bond Yields and Prices ; 1.3 Implied Volatility ; 1.4 R Packages and Demonstrations ; 1.4.1 Installation of R Packages ; 1.4.2 The Quantmod Package ; 1.4.3 Some Basic R Commands ; 1.5 Examples of Financial Data ; 1.6 Distributional Properties of Returns ; 1.6.1 Review of Statistical Distributions and Their Moments ; 1.7 Visualization of Financial Data ; 1.8 Some Statistical Distributions ; 1.8.1 Normal Distribution ; 1.8.2 Lognormal Distribution ; 1.8.3 Stable Distribution
1.8.4 Scale Mixture of Normal Distributions 1.8.5 Multivariate Returns ; Exercises ; References ; 2: Linear Models for Financial Time Series ; 2.1 Stationarity ; 2.2 Correlation and Autocorrelation Function ; 2.3 White Noise and Linear Time Series ; 2.4 Simple Autoregressive Models ; 2.4.1 Properties of AR Models ; 2.4.2 Identifying Ar Models in Practice ; 2.4.3 Goodness of Fit ; 2.4.4 Forecasting ; 2.5 Simple Moving Average Models ; 2.5.1 Properties of MA Models ; 2.5.2 Identifying MA Order ; 2.5.3 Estimation ; 2.5.4 Forecasting Using MA Models ; 2.6 Simple Arma Models 2.6.1 Properties of ARMA(1,1) Models 2.6.2 General ARMA Models ; 2.6.3 Identifying ARMA Models ; 2.6.4 Forecasting Using an ARMA Model ; 2.6.5 Three Model Representations for an ARMA Model ; 2.7 Unit-root Nonstationarity ; 2.7.1 Random Walk ; 2.7.2 Random Walk with Drift ; 2.7.3 Trend-stationary Time Series ; 2.7.4 General Unit-root Nonstationary Models ; 2.7.5 Unit-root Test ; 2.8 Exponential Smoothing ; 2.9 Seasonal Models ; 2.9.1 Seasonal Differencing ; 2.9.2 Multiplicative Seasonal Models ; 2.9.3 Seasonal Dummy Variable ; 2.10 Regression Models with Time Series Errors 2.11 Long-memory Models 2.12 Model Comparison and Averaging ; 2.12.1 In-sample Comparison ; 2.12.2 Out-of-sample Comparison ; 2.12.3 Model Averaging ; Exercises ; References ; 3: Case Studies of Linear Time Series ; 3.1 Weekly Regular Gasoline Price ; 3.1.1 Pure Time Series Model ; 3.1.2 Use of Crude Oil Prices ; 3.1.3 Use of Lagged Crude Oil Prices ; 3.1.4 Out-of-sample Predictions ; 3.2 Global Temperature Anomalies ; 3.2.1 Unit-root Stationarity ; 3.2.2 Trend-nonstationarity ; 3.2.3 Model Comparison ; 3.2.4 Long-term Prediction ; 3.2.5 Discussion ; 3.3 Us Monthly Unemployment Rates 3.3.1 Univariate Time Series Models 3.3.2 An Alternative Model ; 3.3.3 Model Comparison ; 3.3.4 Use of Initial Jobless Claims ; 3.3.5 Comparison ; Exercises ; References ; 4: Asset Volatility and Volatility Models ; 4.1 Characteristics of Volatility ; 4.2 Structure of a Model ; 4.3 Model Building ; 4.4 Testing for ARCH Effect ; 4.5 The Arch Model ; 4.5.1 Properties of ARCH Models ; 4.5.2 Advantages and Weaknesses of ARCH Models ; 4.5.3 Building an ARCH Model ; 4.5.4 Some Examples ; 4.6 the Garch Model ; 4.6.1 An Illustrative Example ; 4.6.2 Forecasting Evaluation 4.6.3 A Two-pass Estimation Method |
| Record Nr. | UNINA-9910463991503321 |
|
Tsay Ruey S. <1951->
|
||
| Hoboken, New Jersey : , : Wiley, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to analysis of financial data with R / / Ruey S. Tsay
| An introduction to analysis of financial data with R / / Ruey S. Tsay |
| Autore | Tsay Ruey S. <1951-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2013 |
| Descrizione fisica | 1 online resource (416 pages) : illustrations, graphs |
| Disciplina | 332.0285/133 |
| Collana | Wiley Series in Probability and Statistics |
| Soggetto topico |
Econometrics
Finance - Econometric models R (Computer program language) Time-series analysis |
| ISBN |
1-119-01346-1
1-119-01345-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910796088503321 |
|
Tsay Ruey S. <1951->
|
||
| Hoboken, New Jersey : , : Wiley, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to analysis of financial data with R / / Ruey S. Tsay
| An introduction to analysis of financial data with R / / Ruey S. Tsay |
| Autore | Tsay Ruey S. <1951-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2013 |
| Descrizione fisica | 1 online resource (416 pages) : illustrations, graphs |
| Disciplina | 332.0285/133 |
| Collana | Wiley Series in Probability and Statistics |
| Soggetto topico |
Econometrics
Finance - Econometric models R (Computer program language) Time-series analysis |
| ISBN |
1-119-01346-1
1-119-01345-3 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910813796903321 |
|
Tsay Ruey S. <1951->
|
||
| Hoboken, New Jersey : , : Wiley, , 2013 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Multivariate time series analysis : with R and financial applications / / Ruey S. Tsay
| Multivariate time series analysis : with R and financial applications / / Ruey S. Tsay |
| Autore | Tsay Ruey S. <1951-> |
| Pubbl/distr/stampa | Hoboken, New Jersey : , : Wiley, , 2014 |
| Descrizione fisica | 1 online resource (502 p.) |
| Disciplina | 519.5/5 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico |
Time-series analysis
R (Computer program language) Econometric models |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-118-61775-4
1-118-61779-7 |
| Classificazione | MAT029000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-9910462982703321 |
|
Tsay Ruey S. <1951->
|
||
| Hoboken, New Jersey : , : Wiley, , 2014 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||