Analysis of Financial Time

ISBN-10: 0471415448
ISBN-13: 9780471415442
Edition: 2002
Authors: Ruey S. Tsay
List price: $115.00
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Description: This comprehensive book introduces the theory and applications of time series methods with an emphasis on statistical content and applications.

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Book details

List price: $115.00
Copyright year: 2002
Publisher: John Wiley & Sons, Incorporated
Publication date: 11/1/2001
Binding: Hardcover
Pages: 472
Size: 6.25" wide x 9.25" long x 1.00" tall
Weight: 1.738
Language: English

This comprehensive book introduces the theory and applications of time series methods with an emphasis on statistical content and applications.

Preface
Financial Time Series and Their Characteristics
Asset Returns
Distributional Properties of Returns
Processes Considered
Linear Time Series Analysis and Its Applications
Stationarity
Correlation and Autocorrelation Function
White Noise and Linear Time Series
Simple Autoregressive Models
Simple Moving-Average Models
Simple ARMA Models
Unit-Root Nonstationarity
Seasonal Models
Regression Models with Time Series Errors
Long-Memory Models
Some SCA Commands
Conditional Heteroscedastic Models
Characteristics of Volatility
Structure of a Model
The ARCH Model
The GARCH Model
The Integrated GARCH Model
The GARCH-M Model
The Exponential GARCH Model
The CHARMA Model
Random Coefficient Autoregressive Models
The Stochastic Volatility Model
The Long-Memory Stochastic Volatility Model
An Alternative Approach
Application
Kurtosis of GARCH Models
Some RATS Programs for Estimating Volatility Models
Nonlinear Models and Their Applications
Nonlinear Models
Nonlinearity Tests
Modeling
Forecasting
Application
Some RATS Programs for Nonlinear Volatility Models
S-Plus Commands for Neural Network
High-Frequency Data Analysis and Market Microstructure
Nonsynchronous Trading
Bid-Ask Spread
Empirical Characteristics of Transactions Data
Models for Price Changes
Duration Models
Nonlinear Duration Models
Bivariate Models for Price Change and Duration
Review of Some Probability Distributions
Hazard Function
Some RATS Programs for Duration Models
Continuous-Time Models and Their Applications
Options
Some Continuous-Time Stochastic Processes
Ito's Lemma
Distributions of Stock Prices and Log Returns
Derivation of Black-Scholes Differential Equation
Black-Scholes Pricing Formulas
An Extension of Ito's Lemma
Stochastic Integral
Jump Diffusion Models
Estimation of Continuous-Time Models
Integration of Black-Scholes Formula
Approximation to Standard Normal Probability
Extreme Values, Quantile Estimation, and Value at Risk
Value at Risk
RiskMetrics
An Econometric Approach to VaR Calculation
Quantile Estimation
Extreme Value Theory
An Extreme Value Approach to VaR
A New Approach Based on the Extreme Value Theory
Multivariate Time Series Analysis and Its Applications
Weak Stationarity and Cross-Correlation Matrixes
Vector Autoregressive Models
Vector Moving-Average Models
Vector ARMA Models
Unit-Root Nonstationarity and Co-Integration
Threshold Co-Integration and Arbitrage
Principal Component Analysis
Factor Analysis
Review of Vectors and Matrixes
Multivariate Normal Distributions
Multivariate Volatility Models and Their Applications
Reparameterization
GARCH Models for Bivariate Returns
Higher Dimensional Volatility Models
Factor-Volatility Models
Application
Multivariate t Distribution
Some Remarks on Estimation
Markov Chain Monte Carlo Methods with Applications
Markov Chain Simulation
Gibbs Sampling
Bayesian Inference
Alternative Algorithms
Linear Regression with Time-Series Errors
Missing Values and Outliers
Stochastic Volatility Models
Markov Switching Models
Forecasting
Other Applications
Index

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