Analysis of financial time series

By:

Tsay, Ruey S

Material type: Text

TextPublication details: John Wiley & Sons New Delhi 2009Edition: 2Description: xxi,605p 23 cm ; PbkISBN:

978-8126523696

Subject(s):

Finance Economics Risk management Time-series analysis

DDC classification:

332.015195 TSA

Contents:

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. Principal component analysis and factor models -- 10. Multivariate volatility models and their applications -- 11. State-space models and Kalman filter -- 12. Markov chain Monte Carlo methods with applications.

Summary: The Second Edition of this critically acclaimed text provides a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This latest edition continues to emphasize empirical financial data and focuses on real-world examples.

Tags from this library: No tags from this library for this title. Log in to add tags.

Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode
Books	H.T. Parekh Library	GSB Collection	332.015195 TSA (Browse shelf(Opens below))	Checked out to Anandi Das (MBA23-028)	17/11/2024	40129

Indiana Books & Journals

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. Principal component analysis and factor models --
10. Multivariate volatility models and their applications --
11. State-space models and Kalman filter --
12. Markov chain Monte Carlo methods with applications.

The Second Edition of this critically acclaimed text provides a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This latest edition continues to emphasize empirical financial data and focuses on real-world examples.

There are no comments on this title.

to post a comment.