Analysis of Financial Time Series: Financial Econometrics - Couverture rigide

Tsay, Ruey S.

Couverture rigide

ISBN 10 : 0471415448 ISBN 13 : 9780471415442

Editeur : John Wiley & Sons Inc, 2001

Synopsis

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.

A propos du livre

À propos de l?auteur

RUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics in the Graduate School of Business at the University of Chicago.

Détails de l'édition

• Éditeur: John Wiley & Sons Inc
• Date d'édition: 2001
• Langue: anglais
• ISBN 10: 0471415448
• ISBN 13: 9780471415442
• Reliure: Relié
• Nombre de pages: 472
• Coordonnées du fabricant: non disponible
• Personne responsable: non disponible