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Analysis of financial time series / Ruey S. Tsay
| Analysis of financial time series / Ruey S. Tsay |
| Autore | TSAY, Ruey S. |
| Edizione | [3. ed] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2010 |
| Descrizione fisica | XXIII, 677 p. ; 24 cm |
| Disciplina | 332.0151955 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico | Analisi delle serie temporali |
| ISBN | 978-0-470-41435-4 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005556030203316 |
TSAY, Ruey S.
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| Hoboken, : Wiley, 2010 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Analysis of financial time series / Ruey S. Tsay
| Analysis of financial time series / Ruey S. Tsay |
| Autore | TSAY, Ruey S. |
| Edizione | [2. ed] |
| Pubbl/distr/stampa | Hoboken, : Wiley, 2005 |
| Descrizione fisica | XXI, 605 p. ; 24 cm |
| Disciplina | 332.0151955 |
| Collana | Wiley series in probability and statistics |
| Soggetto topico | Analisi delle serie temporali |
| ISBN | 0-471-69074-0 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005500760203316 |
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TSAY, Ruey S.
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| Hoboken, : Wiley, 2005 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
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Financial markets in continuous time / Rose-Anne Dana, Monique Jeanblanc ; translated by Anna Kennedy
| Financial markets in continuous time / Rose-Anne Dana, Monique Jeanblanc ; translated by Anna Kennedy |
| Autore | Dana, Rose-Anne <1947- > |
| Pubbl/distr/stampa | Berlin ; New York : Springer, c2003 |
| Descrizione fisica | xi, 324 p. ; 24 cm |
| Disciplina | 332.0151955 |
| Altri autori (Persone) | Jeanblanc, Moniqueauthor |
| Collana | Springer finance |
| Soggetto topico | Serie temporali - Analisi - Applicazioni alla finanza |
| ISBN | 3540434038 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Titolo uniforme | |
| Record Nr. | UNISALENTO-991004071849707536 |
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Dana, Rose-Anne <1947- >
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| Berlin ; New York : Springer, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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An introduction to high-frequency finance [[electronic resource] /] / Michel M. Dacorogna ... [et al.]
| An introduction to high-frequency finance [[electronic resource] /] / Michel M. Dacorogna ... [et al.] |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | San Diego, : Academic Press, c2001 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 332.0151955 |
| Altri autori (Persone) | DacorognaMichel M |
| Soggetto topico |
Finance - Econometric models
Time-series analysis |
| Soggetto genere / forma | Electronic books. |
| ISBN |
1-282-28475-4
9786612284755 0-08-049904-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; AN INTRODUCTION TO HIGH-FREQUENCY FINANCE; Copyright Page; CONTENTS; LIST OF FIGURES; LIST OF TABLES; PREFACE; ACKNOWLEDGMENTS; CHAPTER 1. INTRODUCTION; 1.1 Markets: The Source of High-Frequency Data; 1.2 Methodology of High-Frequency Research; 1.3 Data Frequency and Market Information; 1.4 New Levels of Significance; 1.5 Interrelating Different Time Scales; CHAPTER 2. MARKETS AND DATA; 2.1 General Remarks on Markets and Data Types; 2.2 Foreign Exchange Markets; 2.3 Over-The-Counter Interest Rate Markets; 2.4 Interest Rate Futures; 2.5 Bond Futures Markets; 2.6 Commodity Futures
2.7 Equity Markets CHAPTER 3. TIME SERIES of INTEREST; 3.1 Time Series and Operators; 3.2 Variables in Homogeneous Time Series; 3.3 Convolution Operators; 3.4 Microscopic Operators; CHAPTER 4. ADAPTIVE DATA CLEANING; 4.1 Introduction: Using a Filter to Clean the Data; 4.2 Data and Data Errors; 4.3 General Overview of the Filter; 4.4 Basic Filtering Elements and Operations; 4.5 The Scalar Filtering Window; 4.6 The Full-Quote Filtering Window; 4.7 Univariate Filtering; 4.8 Special Filter Elements; 4.9 Behavior and Effects of the Data Filter; CHAPTER 5. BASIC STYLIZED FACTS; 5.1 Introduction 5.2 Price Formation Process 5.3 Institutional Structure and Exogeneous Impacts; 5.4 Distributional Properties of Returns; 5.5 Scaling Laws; 5.6 Autocorrelation and Seasonality; CHAPTER 6. MODELING SEASONAL VOLATILITY; 6.1 Introduction; 6.2 A Model of Market Activity; 6.3 A New Business Time Scale (ò-Scale); 6.4 Filtering Intraday Seasonalities With Wavelets; CHAPTER 7. REALIZED VOLATILITY DYNAMICS; 7.1 Introduction; 7.2 The Bias of Realized Volatility and Its Correction; 7.3 Conditional Heteroskedasticity; 7.4 The Heterogeneous Market Hypothesis; CHAPTER 8. VOLATILITY PROCESSES 8.1 Introduction 8.2 Intraday Volatility and GARCH Models; 8.3 Modeling Heterogeneous Volatilities; 8.4 Forecasting Short-Term Volatility; CHAPTER 9. FORECASTING RISK AND RETURN; 9.1 Introduction to Forecasting; 9.2 Forecasting Volatility for Value-at-Risk; 9.3 Forecasting Returns over Multiple Time Horizons; 9.4 Measuring Forecast Quality; CHAPTER 10. CORRELATION AND MULTIVARIATE RISK; 10.1 Introduction; 10.2 Estimating the Dependence of Financial Time Series; 10.3 Covolatility Weighting; 10.4 Stability of Return Correlations; 10.5 Correlation Behavior at High Data Frequencies 10.6 Conclusions CHAPTER 11. TRADING MODELS; 11.1 Introduction; 11.2 Real-Time Trading Strategies; 11.3 Risk Sensitive Performance Measures; 11.4 Trading Model Algorithms; 11.5 Optimization and Testing Procedures; 11.6 Statistical Study of a Trading Model; 11.7 Trading Model Portfolios; 11.8 Currency Risk Hedging; CHAPTER 12. TOWARD A THEORY of HETEROGENEOUS MARKETS; 12.1 Definition of Efficient Markets; 12.2 Dynamic Markets and Relativistic Effects; 12.3 Impact of the New Technology; 12.4 Zero-Sum Game or Perpetuum Mobile?; 12.5 Discussion of the Conventional Definition 12.6 An Improved Definition of ""Efficient Markets"" |
| Record Nr. | UNINA-9910451552803321 |
| San Diego, : Academic Press, c2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to high-frequency finance [[electronic resource] /] / Michel M. Dacorogna ... [et al.]
| An introduction to high-frequency finance [[electronic resource] /] / Michel M. Dacorogna ... [et al.] |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | San Diego, : Academic Press, c2001 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina | 332.0151955 |
| Altri autori (Persone) | DacorognaMichel M |
| Soggetto topico |
Finance - Econometric models
Time-series analysis |
| ISBN |
1-282-28475-4
9786612284755 0-08-049904-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; AN INTRODUCTION TO HIGH-FREQUENCY FINANCE; Copyright Page; CONTENTS; LIST OF FIGURES; LIST OF TABLES; PREFACE; ACKNOWLEDGMENTS; CHAPTER 1. INTRODUCTION; 1.1 Markets: The Source of High-Frequency Data; 1.2 Methodology of High-Frequency Research; 1.3 Data Frequency and Market Information; 1.4 New Levels of Significance; 1.5 Interrelating Different Time Scales; CHAPTER 2. MARKETS AND DATA; 2.1 General Remarks on Markets and Data Types; 2.2 Foreign Exchange Markets; 2.3 Over-The-Counter Interest Rate Markets; 2.4 Interest Rate Futures; 2.5 Bond Futures Markets; 2.6 Commodity Futures
2.7 Equity Markets CHAPTER 3. TIME SERIES of INTEREST; 3.1 Time Series and Operators; 3.2 Variables in Homogeneous Time Series; 3.3 Convolution Operators; 3.4 Microscopic Operators; CHAPTER 4. ADAPTIVE DATA CLEANING; 4.1 Introduction: Using a Filter to Clean the Data; 4.2 Data and Data Errors; 4.3 General Overview of the Filter; 4.4 Basic Filtering Elements and Operations; 4.5 The Scalar Filtering Window; 4.6 The Full-Quote Filtering Window; 4.7 Univariate Filtering; 4.8 Special Filter Elements; 4.9 Behavior and Effects of the Data Filter; CHAPTER 5. BASIC STYLIZED FACTS; 5.1 Introduction 5.2 Price Formation Process 5.3 Institutional Structure and Exogeneous Impacts; 5.4 Distributional Properties of Returns; 5.5 Scaling Laws; 5.6 Autocorrelation and Seasonality; CHAPTER 6. MODELING SEASONAL VOLATILITY; 6.1 Introduction; 6.2 A Model of Market Activity; 6.3 A New Business Time Scale (ò-Scale); 6.4 Filtering Intraday Seasonalities With Wavelets; CHAPTER 7. REALIZED VOLATILITY DYNAMICS; 7.1 Introduction; 7.2 The Bias of Realized Volatility and Its Correction; 7.3 Conditional Heteroskedasticity; 7.4 The Heterogeneous Market Hypothesis; CHAPTER 8. VOLATILITY PROCESSES 8.1 Introduction 8.2 Intraday Volatility and GARCH Models; 8.3 Modeling Heterogeneous Volatilities; 8.4 Forecasting Short-Term Volatility; CHAPTER 9. FORECASTING RISK AND RETURN; 9.1 Introduction to Forecasting; 9.2 Forecasting Volatility for Value-at-Risk; 9.3 Forecasting Returns over Multiple Time Horizons; 9.4 Measuring Forecast Quality; CHAPTER 10. CORRELATION AND MULTIVARIATE RISK; 10.1 Introduction; 10.2 Estimating the Dependence of Financial Time Series; 10.3 Covolatility Weighting; 10.4 Stability of Return Correlations; 10.5 Correlation Behavior at High Data Frequencies 10.6 Conclusions CHAPTER 11. TRADING MODELS; 11.1 Introduction; 11.2 Real-Time Trading Strategies; 11.3 Risk Sensitive Performance Measures; 11.4 Trading Model Algorithms; 11.5 Optimization and Testing Procedures; 11.6 Statistical Study of a Trading Model; 11.7 Trading Model Portfolios; 11.8 Currency Risk Hedging; CHAPTER 12. TOWARD A THEORY of HETEROGENEOUS MARKETS; 12.1 Definition of Efficient Markets; 12.2 Dynamic Markets and Relativistic Effects; 12.3 Impact of the New Technology; 12.4 Zero-Sum Game or Perpetuum Mobile?; 12.5 Discussion of the Conventional Definition 12.6 An Improved Definition of ""Efficient Markets"" |
| Record Nr. | UNINA-9910777462503321 |
| San Diego, : Academic Press, c2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
An introduction to high-frequency finance / / Michel M. Dacorogna ... [et al.]
| An introduction to high-frequency finance / / Michel M. Dacorogna ... [et al.] |
| Edizione | [1st edition] |
| Pubbl/distr/stampa | San Diego, : Academic Press, c2001 |
| Descrizione fisica | 1 online resource (411 p.) |
| Disciplina |
332.0151955
330.0151955 |
| Altri autori (Persone) | DacorognaMichel M |
| Soggetto topico |
Finance - Econometric models
Time-series analysis |
| ISBN |
1-282-28475-4
9786612284755 0-08-049904-X |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto |
Front Cover; AN INTRODUCTION TO HIGH-FREQUENCY FINANCE; Copyright Page; CONTENTS; LIST OF FIGURES; LIST OF TABLES; PREFACE; ACKNOWLEDGMENTS; CHAPTER 1. INTRODUCTION; 1.1 Markets: The Source of High-Frequency Data; 1.2 Methodology of High-Frequency Research; 1.3 Data Frequency and Market Information; 1.4 New Levels of Significance; 1.5 Interrelating Different Time Scales; CHAPTER 2. MARKETS AND DATA; 2.1 General Remarks on Markets and Data Types; 2.2 Foreign Exchange Markets; 2.3 Over-The-Counter Interest Rate Markets; 2.4 Interest Rate Futures; 2.5 Bond Futures Markets; 2.6 Commodity Futures
2.7 Equity Markets CHAPTER 3. TIME SERIES of INTEREST; 3.1 Time Series and Operators; 3.2 Variables in Homogeneous Time Series; 3.3 Convolution Operators; 3.4 Microscopic Operators; CHAPTER 4. ADAPTIVE DATA CLEANING; 4.1 Introduction: Using a Filter to Clean the Data; 4.2 Data and Data Errors; 4.3 General Overview of the Filter; 4.4 Basic Filtering Elements and Operations; 4.5 The Scalar Filtering Window; 4.6 The Full-Quote Filtering Window; 4.7 Univariate Filtering; 4.8 Special Filter Elements; 4.9 Behavior and Effects of the Data Filter; CHAPTER 5. BASIC STYLIZED FACTS; 5.1 Introduction 5.2 Price Formation Process 5.3 Institutional Structure and Exogeneous Impacts; 5.4 Distributional Properties of Returns; 5.5 Scaling Laws; 5.6 Autocorrelation and Seasonality; CHAPTER 6. MODELING SEASONAL VOLATILITY; 6.1 Introduction; 6.2 A Model of Market Activity; 6.3 A New Business Time Scale (ò-Scale); 6.4 Filtering Intraday Seasonalities With Wavelets; CHAPTER 7. REALIZED VOLATILITY DYNAMICS; 7.1 Introduction; 7.2 The Bias of Realized Volatility and Its Correction; 7.3 Conditional Heteroskedasticity; 7.4 The Heterogeneous Market Hypothesis; CHAPTER 8. VOLATILITY PROCESSES 8.1 Introduction 8.2 Intraday Volatility and GARCH Models; 8.3 Modeling Heterogeneous Volatilities; 8.4 Forecasting Short-Term Volatility; CHAPTER 9. FORECASTING RISK AND RETURN; 9.1 Introduction to Forecasting; 9.2 Forecasting Volatility for Value-at-Risk; 9.3 Forecasting Returns over Multiple Time Horizons; 9.4 Measuring Forecast Quality; CHAPTER 10. CORRELATION AND MULTIVARIATE RISK; 10.1 Introduction; 10.2 Estimating the Dependence of Financial Time Series; 10.3 Covolatility Weighting; 10.4 Stability of Return Correlations; 10.5 Correlation Behavior at High Data Frequencies 10.6 Conclusions CHAPTER 11. TRADING MODELS; 11.1 Introduction; 11.2 Real-Time Trading Strategies; 11.3 Risk Sensitive Performance Measures; 11.4 Trading Model Algorithms; 11.5 Optimization and Testing Procedures; 11.6 Statistical Study of a Trading Model; 11.7 Trading Model Portfolios; 11.8 Currency Risk Hedging; CHAPTER 12. TOWARD A THEORY of HETEROGENEOUS MARKETS; 12.1 Definition of Efficient Markets; 12.2 Dynamic Markets and Relativistic Effects; 12.3 Impact of the New Technology; 12.4 Zero-Sum Game or Perpetuum Mobile?; 12.5 Discussion of the Conventional Definition 12.6 An Improved Definition of ""Efficient Markets"" |
| Altri titoli varianti | High-frequency finance |
| Record Nr. | UNINA-9910814973103321 |
| San Diego, : Academic Press, c2001 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling financial time series with S-Plus / Eric Zivot, Jiahui Wang
| Modeling financial time series with S-Plus / Eric Zivot, Jiahui Wang |
| Autore | ZIVOT, Eric |
| Edizione | [2. ed] |
| Pubbl/distr/stampa | New York : Springer, [2006! |
| Descrizione fisica | XXII, 998 p. ; 24 cm. |
| Disciplina | 332.0151955 |
| Altri autori (Persone) | WANG, Jiahui |
| Soggetto topico |
Statistica - Metodi matematici
Serie temporali - Elaborazione elettronica dei dati S-Plus (Software) |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISA-990005546660203316 |
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ZIVOT, Eric
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| New York : Springer, [2006! | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Modeling financial time series with S-PLUS / Eric Zivot, Jiahui Wang
| Modeling financial time series with S-PLUS / Eric Zivot, Jiahui Wang |
| Autore | Zivot, Eric |
| Pubbl/distr/stampa | New York [etc.] : Springer, ©2003 |
| Descrizione fisica | XIX, 632 p. ; 24 cm |
| Disciplina | 332.0151955 |
| Altri autori (Persone) | Wang, Jiahui |
| Soggetto non controllato | Finanza - Modelli matematici |
| ISBN | 0-387-95549-6 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNINA-990007825090403321 |
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Zivot, Eric
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| New York [etc.] : Springer, ©2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Modeling financial time series with S-plus / Eric Zivot, Jiahui Wang
| Modeling financial time series with S-plus / Eric Zivot, Jiahui Wang |
| Autore | Zivot, Eric |
| Pubbl/distr/stampa | New York : Springer, c2003 |
| Descrizione fisica | xix, 632 p. ; 24 cm |
| Disciplina | 332.0151955 |
| Altri autori (Persone) | Wang, Jiahuiauthor |
| Soggetto topico |
Microelaboratori elettronici - Programmi S-Plus - Impiego in finanza
Serie temporali - Elaborazione elettronica dei dati S-Plus |
| ISBN |
0387955496
9780387955490 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Record Nr. | UNISALENTO-991000857949707536 |
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Zivot, Eric
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| New York : Springer, c2003 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. del Salento | ||
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