Tsay, Ruey S.,  1951- <br/><br/>
Analysis of financial time series / 
Ruey S. Tsay. 
 - xii, 448 pages :  illustrations ;  25 cm. 
 - Wiley series in probability and statistics .
 - Wiley series in probability and statistics. .
<br/><br/> "A Wiley-Interscience publication.". 
<br/><br/>Includes bibliographical references and index. 
<br/><br/> Preface --  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 --  Multivariate Volatility Models and Their Applications --  Markov Chain Monte Carlo Methods with Applications --  Index.  1.  2.  3.  4.  5.  6.  7.  8.  9.  10. 
<br/><br/> "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. 
<br/><br/><label>ISBN: </label>0471415448 9780471415442 
<br/><br/><label>LCCN: </label>2001026944 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Time-series analysis<br/>Econometrics<br/>Risk management.<br/>Business mathematics<br/>Finance--Statistics
<br/><br/><label>LC Class. No.: </label>HA30.3  / T76 2002 
<br/><br/><label>Dewey Class. No.: </label>332.0151955