Analysis of financial time series /

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This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications 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 describ...

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Detalles Bibliográficos
Clasificación:HA30.3 T7.39 2010
Autor principal: Tsay, Ruey S., 1951-
Formato: Libro
Idioma:Inglés
Publicado: Hoboken, NJ : Wiley, 2010.
Edición:3a ed.
Colección:Wiley series in probability and statistics
Temas:
Time-series analysis
Análisis de series de tiempo
Econometría
Riesgo (Economía)
Tabla de Contenidos:
  • 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 Applications
  • 11. State-Space Models and Kalman Filter
  • 12. Markov Chain Monte Carlo Methods with Applications.

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