000			03685cam a22004694i 4500
005			20211129162016.0
008			011112s2002 nyua bs 001 0 eng d
010			_a 2001026944
011			_aBIB MATCHES WORLDCAT
020			_a0471415448 _qalk. paper
020			_a9780471415442 _qalk. paper
035			_a(OCoLC)46847174
040			_aDLC _beng _erda _cDLC _dUKM _dC#P _dMUQ _dUBA _dOCLCQ _dBAKER _dNLGGC _dBTCTA _dYDXCP _dUQ1 _dOCLCG _dIG# _dEXW _dATU
042			_apcc
050	0	0	_aHA30.3 _bT76 2002
082	0	4	_a332.0151955 _221
100	1		_aTsay, Ruey S., _d1951- _eauthor. _9418830
245	1	0	_aAnalysis of financial time series / _cRuey S. Tsay.
264		1	_aNew York : _bWiley, _c[2002]
264		4	_c©2002
300			_axii, 448 pages : _billustrations ; _c25 cm.
336			_atext _btxt _2rdacontent
337			_aunmediated _bn _2rdamedia
338			_avolume _bnc _2rdacarrier
490	1		_aWiley series in probability and statistics
500			_a"A Wiley-Interscience publication.".
504			_aIncludes bibliographical references and index.
505	0	0	_tPreface -- _g1. _tFinancial Time Series and Their Characteristics -- _g2. _tLinear Time Series Analysis and Its Applications -- _g3. _tConditional Heteroscedastic Models -- _g4. _tNonlinear Models and Their Applications -- _g5. _tHigh-Frequency Data Analysis and Market Microstructure -- _g6. _tContinuous-Time Models and Their Applications -- _g7. _tExtreme Values, Quantile Estimation, and Value at Risk -- _g8. _tMultivariate Time Series Analysis and Its Applications -- _g9. _tMultivariate Volatility Models and Their Applications -- _g10. _tMarkov Chain Monte Carlo Methods with Applications -- _tIndex.
520			_a"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.
588			_aMachine converted from AACR2 source record.
650		0	_aTime-series analysis _9325098
650		0	_aEconometrics _9345416
650		0	_aRisk management. _9323444
650		0	_aBusiness mathematics _9314905
650		0	_aFinance _vStatistics _9337821
830		0	_aWiley series in probability and statistics. _9241467
856	4	2	_3Contributor biographical information _uhttp://catdir.loc.gov/catdir/bios/wiley043/2001026944.html
907			_a.b10933384 _b10-06-19 _c27-10-15
942			_cB
945			_a332.0151955 TSA _g1 _iA263240B _j0 _lcmain _o- _p$137.48 _q- _r- _s- _t0 _u9 _v0 _w0 _x0 _y.i12154027 _z29-10-15
998			_a(2)b _a(2)c _b20-03-18 _cm _da _feng _gnyu _h0
999			_c1153939 _d1153939