TY  - BOOK
AU  - Tsay, Ruey S.
TI  - Analysis of financial time series
SN  - 978-8126548934
PY  - 2014///
CY  - New Delhi
PB  - Wiley
KW  - Higher Education
KW  - Economics
N1  - 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
N2  - 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
UR  - https://www.wileyindia.com/analysis-of-financial-time-series-3rd-ed.html
ER  -