Analysis of financial time series / Ruey S. Tsay.
Material type: TextSeries: Wiley series in probability and statisticsPublisher: New York : Wiley, [2002]Copyright date: ©2002Description: xii, 448 pages : illustrations ; 25 cmContent type:- text
- unmediated
- volume
- 0471415448
- 9780471415442
- 332.0151955 21
- HA30.3 T76 2002
Item type | Current library | Call number | Copy number | Status | Date due | Barcode | |
---|---|---|---|---|---|---|---|
Book | City Campus City Campus Main Collection | 332.0151955 TSA (Browse shelf(Opens below)) | 1 | Available | A263240B |
"A Wiley-Interscience publication.".
Includes bibliographical references and index.
Preface -- 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, Quantile Estimation, and Value at Risk -- 8. Multivariate Time Series Analysis and Its Applications -- 9. Multivariate Volatility Models and Their Applications -- 10. Markov Chain Monte Carlo Methods with Applications -- Index.
"Fundamental topics and new methods in time series analysis; ; Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application 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 described.; ; The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. Timely topics and recent results include:; ; * Value at Risk (VaR); ; * High-frequency financial data analysis; ; * Markov Chain Monte Carlo (MCMC) methods; ; * Derivative pricing using jump diffusion with closed-form formulas; ; * VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process; ; * Multivariate volatility models with time-varying correlations; ; Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods."--Publisher description.
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