Analysis of Financial Time Series

Name: Analysis of Financial Time Series
Price: 59.26 USD
Availability: InStock
ISBN: 9780471690740

ISBN-10: 0471690740

ISBN-13: 9780471690740

Edition: 2nd 2005 (Revised)

Authors: Ruey S. Tsay

List price: $148.00

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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.

Book details

List price: $148.00
Edition: 2nd
Copyright year: 2005
Publisher: John Wiley & Sons, Incorporated
Publication date: 8/30/2005
Binding: Hardcover
Pages: 640
Size: 6.50" wide x 9.75" long x 1.50" tall
Weight: 2.178



Preface


Preface to First Edition



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, Quantile Estimation, and Value at Risk



Multivariate Time Series Analysis and Its Applications



Principal Component Analysis and Factor Models



Multivariate Volatility Modelsand Their Applications



State-Space Models and Kalman Filter



Markov Chain Monte Carlo Methods with Applications


Index