Analysis of financial time series 3rd Ed.,

SRS- Rs.849/-

• 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, Quantiles and Value at Risk
• Multivariate Time Series Analysis and Its Applications
• Principal Component Analysis and Factor Models
• Multivariate Volatility Models and Their Applications
• State-Space Models and Kalman Filter
• Markov Chain Monte Carlo Methods with Applications
• Exercises
• References
• Index

This latest edition continues to emphasize empirical financial data and focuses on real-world examples. Following this approach, readers will master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods." "The tools provided in this text aid readers in developing a deeper understanding of financial markets through firsthand experience in working with financial data. This is an ideal textbook for MBA students as well as a reference for researchers and professionals in business and finance.