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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->
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| New York ; ; [Great Britain], : Wiley, c2002 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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An engine, not a camera [[electronic resource] ] : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera [[electronic resource] ] : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, c2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-09767-9
9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910452254503321 |
|
MacKenzie Donald A
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| Cambridge, Mass., : MIT Press, c2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, ©2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| Soggetto non controllato |
SCIENCE, TECHNOLOGY & SOCIETY/General
ECONOMICS/Finance ECONOMICS/General |
| ISBN |
0-262-25004-7
1-282-09767-9 9786612097676 0-262-27880-4 1-4237-7448-5 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910777513803321 |
|
MacKenzie Donald A
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||
| Cambridge, Mass., : MIT Press, ©2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An engine, not a camera : how financial models shape markets / / Donald MacKenzie
| An engine, not a camera : how financial models shape markets / / Donald MacKenzie |
| Autore | MacKenzie Donald A |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Cambridge, Mass., : MIT Press, ©2006 |
| Descrizione fisica | 1 online resource (392 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Inside technology |
| Soggetto topico |
Capital market - Mathematical models
Derivative securities - Mathematical models Financial crises - Mathematical models Financial crises |
| ISBN |
9786612097676
9780262250047 0262250047 9781282097674 1282097679 9780262278805 0262278804 9781423774488 1423774485 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Acknowledgements; 1 Performing Theory?; 2 Transforming Finance; 3 Theory and Practice; 4 Tests, Anomalies, and Monsters; 5 Pricing Options; 6 Pits, Bodies, and Theorems; 7 The Fall; 8 Arbitrage; 9 Models and Markets; Appendix A An Example of Modigliani and Miller's "Arbitrage Proof" of the Irrelevance of Capital Structure to Total Market Value; Appendix B Lévy Distributions; Appendix C Sprenkle's and Kassouf's Equations for Warrant Prices; Appendix D The Black-Scholes Equation for a European Option on a Non- Dividend-Bearing Stock; Appendix E Pricing Options in a Binomial World
Appendix F Repo, Haircuts, and Reverse RepoAppendix G A Typical Swap-Spread Arbitrage Trade; Appendix H List of Interviewees; Glossary; Notes; Sources of Unpublished Documents; References; Series List; Index |
| Record Nr. | UNINA-9910970461503321 |
|
MacKenzie Donald A
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| Cambridge, Mass., : MIT Press, ©2006 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial and actuarial statistics : an introduction / / Dale S. Borowiak
| Financial and actuarial statistics : an introduction / / Dale S. Borowiak |
| Autore | Borowiak Dale S. <1952, > |
| Edizione | [2nd edition] |
| Pubbl/distr/stampa | New York : , : Marcel Dekker, , 2003 |
| Descrizione fisica | 1 online resource (xi, 383 p.) |
| Disciplina |
332.0151
332/.01/5195 |
| Altri autori (Persone) | ShapiroArnold |
| Collana | Statistics: A Series of Textbooks and Monographs |
| Soggetto topico |
Finance - Statistical methods
Insurance - Statistical methods |
| ISBN |
0-429-21352-2
1-135-54105-1 1-280-17914-7 0-203-91124-5 |
| Classificazione | MAT029000MAT000000BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Contents; Preface; Chapter 1: Statistical Concepts; Chapter 2: Statistical Techniques; Chapter 3: Financial Computational Models; Chapter 4: Deterministic Status Models; Chapter 5: Future Lifetime Random Variables and Life Tables; Chapter 6: Stochastic Status Models; Chapter 7: Advanced Stochastic Status Models; Chapter 8: Markov Chain Methods; Chapter 9: Scenario and Simulation Testing; Chapter 10: Further Statistical Considerations; Appendix A: Excel Statistical Functions, Basic Mathematical Functions, and Add-Ins; Appendix B: Acronyms and Principal Sections; References
Back Cover |
| Record Nr. | UNINA-9910780498003321 |
|
Borowiak Dale S. <1952, >
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| New York : , : Marcel Dekker, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial and actuarial statistics : an introduction / / Dale S. Borowiak
| Financial and actuarial statistics : an introduction / / Dale S. Borowiak |
| Autore | Borowiak Dale S. <1952-> |
| Edizione | [2nd edition] |
| Pubbl/distr/stampa | New York : , : Marcel Dekker, , 2003 |
| Descrizione fisica | 1 online resource (xi, 383 p.) |
| Disciplina |
332.0151
332/.01/5195 |
| Altri autori (Persone) | ShapiroArnold |
| Collana | Statistics: A Series of Textbooks and Monographs |
| Soggetto topico |
Finance - Statistical methods
Insurance - Statistical methods |
| ISBN |
9781135541040
1135541043 9780429213526 0429213522 9781135541057 1135541051 9781280179143 1280179147 9780203911242 0203911245 |
| Classificazione | MAT029000MAT000000BUS027000 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; Contents; Preface; Chapter 1: Statistical Concepts; Chapter 2: Statistical Techniques; Chapter 3: Financial Computational Models; Chapter 4: Deterministic Status Models; Chapter 5: Future Lifetime Random Variables and Life Tables; Chapter 6: Stochastic Status Models; Chapter 7: Advanced Stochastic Status Models; Chapter 8: Markov Chain Methods; Chapter 9: Scenario and Simulation Testing; Chapter 10: Further Statistical Considerations; Appendix A: Excel Statistical Functions, Basic Mathematical Functions, and Add-Ins; Appendix B: Acronyms and Principal Sections; References
Back Cover |
| Record Nr. | UNINA-9910962580203321 |
|
Borowiak Dale S. <1952->
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||
| New York : , : Marcel Dekker, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial econometrics : methods and models / / Peijie Wang
| Financial econometrics : methods and models / / Peijie Wang |
| Autore | Wang Peijie <1965-> |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | London ; ; New York, : Routledge, 2003 |
| Descrizione fisica | 1 online resource (193 pages) |
| Disciplina | 332/.01/5195 |
| Collana | Routledge Advanced Texts in Economics and Finance |
| Soggetto topico |
Finance - Econometric models
Time-series analysis Stochastic processes |
| ISBN |
1-134-59111-X
1-134-59112-8 1-280-17725-X 0-203-99073-0 |
| Classificazione |
85.03
85.33 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Intro -- Half-Title -- Title -- Copyright -- Contents -- Detailed contents -- List of illustrations -- Preface -- Acknowledgements -- 1 Stochastic processes and financial time series -- 2 Unit roots, cointegration and other comovements in time series -- 3 Time-varying volatility models - GARCH and stochastic volatility -- 4 Shock persistence and impulse response analysis -- 5 Modelling regime shifts -- 6 Present value models and tests for rationality and market efficiency -- 7 State space models and the Kalman .lter -- 8 Frequency domain analysis of time series -- 9 Research tools and sources of information -- Subject index. |
| Record Nr. | UNINA-9910970819403321 |
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Wang Peijie <1965->
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| London ; ; New York, : Routledge, 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial market risk : measurement and analysis / / ornelis A. Los
| Financial market risk : measurement and analysis / / ornelis A. Los |
| Autore | Los Cornelis Albertus <1951, > |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2003 |
| Descrizione fisica | 1 online resource (493 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Routledge international studies in money and banking |
| Soggetto topico |
Hedging (Finance)
Risk management |
| Soggetto genere / forma | Electronic books. |
| ISBN |
0-429-24222-0
1-134-46932-2 1-280-34798-8 9786610347988 0-203-98763-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Book Cover; Title; Copyright; Contents; Preface; Introduction; 1 Risk asset class horizon and time; 2 Competing financial market hypotheses; 3 Stable scaling distributions in finance; 4 Persistence of financial risk; 5 Frequency analysis of financial risk; 6 Fourier time frequency analysis of risk; 7 Wavelet time scale analysis of risk; 8 Multiresolution analysis of local risk; 9 Chaos nonunique equilibria processes; 10 Measuring term structure dynamics; 11 Simulation of financial turbulence; 12 Managing VaR and extreme values; Appendix A original scaling in financial economics
Appendix B S P500 daily closing prices for 1988Index |
| Record Nr. | UNINA-9910451495203321 |
|
Los Cornelis Albertus <1951, >
|
||
| London ; ; New York : , : Routledge, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial market risk : measurement and analysis / / ornelis A. Los
| Financial market risk : measurement and analysis / / ornelis A. Los |
| Autore | Los Cornelis Albertus <1951, > |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2003 |
| Descrizione fisica | 1 online resource (493 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Routledge international studies in money and banking |
| Soggetto topico |
Hedging (Finance)
Risk management |
| ISBN |
1-134-46931-4
0-429-24222-0 1-134-46932-2 1-280-34798-8 9786610347988 0-203-98763-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Book Cover; Title; Copyright; Contents; Preface; Introduction; 1 Risk asset class horizon and time; 2 Competing financial market hypotheses; 3 Stable scaling distributions in finance; 4 Persistence of financial risk; 5 Frequency analysis of financial risk; 6 Fourier time frequency analysis of risk; 7 Wavelet time scale analysis of risk; 8 Multiresolution analysis of local risk; 9 Chaos nonunique equilibria processes; 10 Measuring term structure dynamics; 11 Simulation of financial turbulence; 12 Managing VaR and extreme values; Appendix A original scaling in financial economics
Appendix B S P500 daily closing prices for 1988Index |
| Record Nr. | UNINA-9910783861203321 |
|
Los Cornelis Albertus <1951, >
|
||
| London ; ; New York : , : Routledge, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Financial market risk : measurement and analysis / / ornelis A. Los
| Financial market risk : measurement and analysis / / ornelis A. Los |
| Autore | Los Cornelis Albertus <1951, > |
| Pubbl/distr/stampa | London ; ; New York : , : Routledge, , 2003 |
| Descrizione fisica | 1 online resource (493 p.) |
| Disciplina | 332/.01/5195 |
| Collana | Routledge international studies in money and banking |
| Soggetto topico |
Hedging (Finance)
Risk management |
| ISBN |
1-134-46931-4
0-429-24222-0 1-134-46932-2 1-280-34798-8 9786610347988 0-203-98763-2 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Book Cover; Title; Copyright; Contents; Preface; Introduction; 1 Risk asset class horizon and time; 2 Competing financial market hypotheses; 3 Stable scaling distributions in finance; 4 Persistence of financial risk; 5 Frequency analysis of financial risk; 6 Fourier time frequency analysis of risk; 7 Wavelet time scale analysis of risk; 8 Multiresolution analysis of local risk; 9 Chaos nonunique equilibria processes; 10 Measuring term structure dynamics; 11 Simulation of financial turbulence; 12 Managing VaR and extreme values; Appendix A original scaling in financial economics
Appendix B S P500 daily closing prices for 1988Index |
| Record Nr. | UNINA-9910799982903321 |
|
Los Cornelis Albertus <1951, >
|
||
| London ; ; New York : , : Routledge, , 2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
