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:Libro Electrónico
Autor principal: Tsay, Ruey S., 1951-
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Hoboken, N.J. : Wiley, ©2010.
Edición:3rd ed.
Colección:Wiley series in probability and statistics.
Temas:
Time-series analysis.
Econometrics.
Risk management.
Série chronologique.
Économétrie.
Gestion du risque.
risk management.
BUSINESS & ECONOMICS > Finance.
Econometrics
Risk management
Time-series analysis
Risikomanagement
Zeitreihenanalyse
Ökonometrie
Tidsserieanalys.
Ekonometri.
Acceso en línea:Texto completo (Requiere registro previo con correo institucional)
Tabla de Contenidos:
  • Financial time series and their characteristics
  • Linear time series analysis and its applications
  • Conditional heteroscedastic models
  • Nonlinear models and their applications
  • High-frequency data analysis and market microstructure
  • Continuous-time models and their applications
  • Extreme values, quantiles, and value at risk
  • Multivariate time series analysis and its applications
  • Principal component analysis and factor models
  • Multivariate volatility models and their applications
  • State-space models and Kalman filter
  • Markov chain Monte Carlo methods with applications.

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