TY  - BOOK
AU  - Tsay,Ruey S.
TI  - Analysis of financial time series
T2  - Wiley series in probability and statistics
SN  - 0471415448
AV  - HA30.3 T76 2002
U1  - 332.0151955 21
PY  - 2002///]
CY  - New York
PB  - Wiley
KW  - Time-series analysis
KW  - Econometrics
KW  - Risk management
KW  - Business mathematics
KW  - Finance
KW  - Statistics
N1  - "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
N2  - "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
UR  - http://catdir.loc.gov/catdir/bios/wiley043/2001026944.html
ER  -