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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 | ||
| ||
Time series : applications to finance with R and S-Plus / / Ngai Hang Chan
| Time series : applications to finance with R and S-Plus / / Ngai Hang Chan |
| Autore | Chan Ngai Hang |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J. : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (xxiii, 296 pages) : illustrations |
| Disciplina | 332.01/51955 |
| Soggetto topico |
Time-series analysis
Econometrics Risk management R (Computer program language) |
| ISBN |
1-280-75948-8
9786613678010 1-118-30294-X 1-118-03246-2 1-118-03071-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Time Series: Applications to Finance with R and S-Plus®, Second Edition; Contents; 12.2.1 Diagonal Form; 12.2.2 Alternative Matrix Form; List of Figures; List of Tables; Preface; Preface to the First Edition; 1 Introduction; 1.1 Basic Description; 1.2 Simple Descriptive Techniques; 1.2.1 Trends; 1.2.2 Seasonal Cycles; 1.3 Transformations; 1.4 Example; 1.5 Conclusions; 1.6 Exercises; 2 Probability Models; 2.1 Introduction; 2.2 Stochastic Processes; 2.3 Examples; 2.4 Sample Correlation Function; 2.5 Exercises; 3 Autoregressive Moving Average Models; 3.1 Introduction; 3.2 Moving Average Models
3.3 Autoregressive Models; 3.3.1 Duality between Causality and Stationarity*; 3.3.2 Asymptotic Stationarity; 3.3.3 Causality Theorem; 3.3.4 Covariance Structure of AR Models; 3.4 ARMA Models; 3.5 ARIMA Models; 3.6 Seasonal ARIMA; 3.7 Exercises; 4 Estimation in the Time Domain; 4.1 Introduction; 4.2 Moment Estimators; 4.3 Autoregressive Models; 4.4 Moving Average Models; 4.5 ARMA Models; 4.6 Maximum Likelihood Estimates; 4.7 Partial ACF; 4.8 Order Selections*; 4.9 Residual Analysis; 4.10 Model Building; 4.11 Exercises; 5 Examples in SPLUS and R; 5.1 Introduction; 5.2 Example 1; 5.3 Example 2 5.4 Exercises; 6 Forecasting; 6.1 Introduction; 6.2 Simple Forecasts; 6.3 Box and Jenkins Approach; 6.4 Treasury Bill Example; 6.5 Recursions*; 6.6 Exercises; 7 Spectral Analysis; 7.1 Introduction; 7.2 Spectral Representation Theorems; 7.3 Periodogram; 7.4 Smoothing of Periodogram*; 7.5 Conclusions; 7.6 Exercises; 8 Nonstationarity; 8.1 Introduction; 8.2 Nonstationarity in Variance; 8.3 Nonstationarity in Mean: Random Walk with Drift; 8.4 Unit Root Test; 8.5 Simulations; 8.6 Exercises; 9 Heteroskedasticity; 9.1 Introduction; 9.2 ARCH; 9.3 GARCH; 9.4 Estimation and Testing for ARCH 9.5 Example of Foreign Exchange Rates; 9.6 Exercises; 10 Multivariate Time Series; 10.1 Introduction; 10.2 Estimation of μ and Γ; 10.3 Multivariate ARMA Processes; 10.3.1 Causality and Invertibility; 10.3.2 Identifiability; 10.4 Vector AR Models; 10.5 Example of Inferences for VAR; 10.6 Exercises; 11 State Space Models; 11.1 Introduction; 11.2 State Space Representation; 11.3 Kalman Recursions; 11.4 Stochastic Volatility Models; 11.5 Example of Kalman Filtering of Term Structure; 11.6 Exercises; 12 Multivariate GARCH; 12.1 Introduction; 12.2 General Model; 12.3 Quadratic Form 12.3.1 Single-Factor GARCH(1,1); 12.3.2 Constant-Correlation Model; 12.4 Example of Foreign Exchange Rates; 12.4.1 The Data; 12.4.2 Multivariate GARCH in SPLUS; 12.4.3 Prediction; 12.4.4 Predicting Portfolio Conditional Standard Deviations; 12.4.5 BEKK Model; 12.4.6 Vector-Diagonal Models; 12.4.7 ARMA in Conditional Mean; 12.5 Conclusions; 12.6 Exercises; 13 Cointegrations and Common Trends; 13.1 Introduction; 13.2 Definitions and Examples; 13.3 Error Correction Form; 13.4 Granger's Representation Theorem; 13.5 Structure of Cointegrated Systems; 13.6 Statistical Inference for Cointegrated Systems |
| Record Nr. | UNINA-9910139201603321 |
|
Chan Ngai Hang
|
||
| Hoboken, N.J. : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Time series : applications to finance with R and S-Plus / / Ngai Hang Chan
| Time series : applications to finance with R and S-Plus / / Ngai Hang Chan |
| Autore | Chan Ngai Hang |
| Edizione | [2nd ed.] |
| Pubbl/distr/stampa | Hoboken, N.J. : , : Wiley, , 2010 |
| Descrizione fisica | 1 online resource (xxiii, 296 pages) : illustrations |
| Disciplina | 332.01/51955 |
| Soggetto topico |
Time-series analysis
Econometrics Risk management R (Computer program language) |
| ISBN |
1-280-75948-8
9786613678010 1-118-30294-X 1-118-03246-2 1-118-03071-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Time Series: Applications to Finance with R and S-Plus®, Second Edition; Contents; 12.2.1 Diagonal Form; 12.2.2 Alternative Matrix Form; List of Figures; List of Tables; Preface; Preface to the First Edition; 1 Introduction; 1.1 Basic Description; 1.2 Simple Descriptive Techniques; 1.2.1 Trends; 1.2.2 Seasonal Cycles; 1.3 Transformations; 1.4 Example; 1.5 Conclusions; 1.6 Exercises; 2 Probability Models; 2.1 Introduction; 2.2 Stochastic Processes; 2.3 Examples; 2.4 Sample Correlation Function; 2.5 Exercises; 3 Autoregressive Moving Average Models; 3.1 Introduction; 3.2 Moving Average Models
3.3 Autoregressive Models; 3.3.1 Duality between Causality and Stationarity*; 3.3.2 Asymptotic Stationarity; 3.3.3 Causality Theorem; 3.3.4 Covariance Structure of AR Models; 3.4 ARMA Models; 3.5 ARIMA Models; 3.6 Seasonal ARIMA; 3.7 Exercises; 4 Estimation in the Time Domain; 4.1 Introduction; 4.2 Moment Estimators; 4.3 Autoregressive Models; 4.4 Moving Average Models; 4.5 ARMA Models; 4.6 Maximum Likelihood Estimates; 4.7 Partial ACF; 4.8 Order Selections*; 4.9 Residual Analysis; 4.10 Model Building; 4.11 Exercises; 5 Examples in SPLUS and R; 5.1 Introduction; 5.2 Example 1; 5.3 Example 2 5.4 Exercises; 6 Forecasting; 6.1 Introduction; 6.2 Simple Forecasts; 6.3 Box and Jenkins Approach; 6.4 Treasury Bill Example; 6.5 Recursions*; 6.6 Exercises; 7 Spectral Analysis; 7.1 Introduction; 7.2 Spectral Representation Theorems; 7.3 Periodogram; 7.4 Smoothing of Periodogram*; 7.5 Conclusions; 7.6 Exercises; 8 Nonstationarity; 8.1 Introduction; 8.2 Nonstationarity in Variance; 8.3 Nonstationarity in Mean: Random Walk with Drift; 8.4 Unit Root Test; 8.5 Simulations; 8.6 Exercises; 9 Heteroskedasticity; 9.1 Introduction; 9.2 ARCH; 9.3 GARCH; 9.4 Estimation and Testing for ARCH 9.5 Example of Foreign Exchange Rates; 9.6 Exercises; 10 Multivariate Time Series; 10.1 Introduction; 10.2 Estimation of μ and Γ; 10.3 Multivariate ARMA Processes; 10.3.1 Causality and Invertibility; 10.3.2 Identifiability; 10.4 Vector AR Models; 10.5 Example of Inferences for VAR; 10.6 Exercises; 11 State Space Models; 11.1 Introduction; 11.2 State Space Representation; 11.3 Kalman Recursions; 11.4 Stochastic Volatility Models; 11.5 Example of Kalman Filtering of Term Structure; 11.6 Exercises; 12 Multivariate GARCH; 12.1 Introduction; 12.2 General Model; 12.3 Quadratic Form 12.3.1 Single-Factor GARCH(1,1); 12.3.2 Constant-Correlation Model; 12.4 Example of Foreign Exchange Rates; 12.4.1 The Data; 12.4.2 Multivariate GARCH in SPLUS; 12.4.3 Prediction; 12.4.4 Predicting Portfolio Conditional Standard Deviations; 12.4.5 BEKK Model; 12.4.6 Vector-Diagonal Models; 12.4.7 ARMA in Conditional Mean; 12.5 Conclusions; 12.6 Exercises; 13 Cointegrations and Common Trends; 13.1 Introduction; 13.2 Definitions and Examples; 13.3 Error Correction Form; 13.4 Granger's Representation Theorem; 13.5 Structure of Cointegrated Systems; 13.6 Statistical Inference for Cointegrated Systems |
| Record Nr. | UNINA-9910816191003321 |
|
Chan Ngai Hang
|
||
| Hoboken, N.J. : , : Wiley, , 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||