Articles liés à Analysis of Financial Time Series

Analysis of Financial Time Series - Couverture rigide

Tsay, Ruey S.

 
9780470414354: Analysis of Financial Time Series
Couverture rigide
ISBN 10 : 0470414359 ISBN 13 : 9780470414354
Editeur : John Wiley & Sons Inc, 2010

Synopsis

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications 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
  • Bayesian inference in finance methods

Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets.

The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l'auteur

RUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. Dr. Tsay has written over 100 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control, and he is the coauthor of A Course in Time Series Analysis (Wiley). Dr. Tsay is a Fellow of the American Statistical Association, the Institute of Mathematical Statistics, the Royal Statistical Society, and Academia Sinica.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
John Wiley & Sons Inc
Date d'édition
2010
Langue
anglais
ISBN 10 
0470414359
ISBN 13 
9780470414354
Reliure
Relié
Numéro d'édition
3
Nombre de pages
720
Coordonnées du fabricant
non disponible
Personne responsable
non disponible