Analysis of Financial Time Series (Wiley Series in Probability and Statistics) - Hardcover

Buch 193 von 354: Wiley Series in Probability and Statistics

Tsay, Ruey S.

 
9780471690740: Analysis of Financial Time Series (Wiley Series in Probability and Statistics)
Hardcover
ISBN 10: 0471690740 ISBN 13: 9780471690740
Verlag: John Wiley & Sons, 2005

Inhaltsangabe

Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book.
 
You'll find a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This edition continues to emphasize empirical financial data and focuses on real-world examples. You'll 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.
 
This is an ideal textbook for MBA students and a key reference for researchers and professionals in business and finance. Order your copy today.

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Über die Autorin bzw. den Autor

RUEY S. TSAY, PHD, is H. G. B. Alexander Professor of Econometrics and Statistics, Graduate School of Business, University of Chicago. Dr. Tsay is a Fellow of the American Statistical Association and the Institute of Mathematical Statistics.

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Provides statistical tools and techniques needed to understand today's financial markets
 
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. 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 author begins with the basic characteristics of financial time series data, setting the foundation for the three main topics:
* Analysis and application of univariate financial time series
* Return series of multiple assets
* Bayesian inference in finance methods
 
This new edition is a thoroughly revised and updated text, including the addition of S-Plus(r) commands and illustrations. Exercises have been thoroughly updated and expanded and include the most current data, providing readers with more opportunities to put the models and methods into practice. Among the new material added to the text, readers will find:
* Consistent covariance estimation under heteroscedasticity and serial correlation
* Alternative approaches to volatility modeling
* Financial factor models
* State-space models
* Kalman filtering
* Estimation of stochastic diffusion models
 
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.

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Verlag
John Wiley & Sons
Erscheinungsdatum
2005
Sprache
Englisch
ISBN 10 
0471690740
ISBN 13 
9780471690740
Einband
Gebundene Ausgabe
Auflage
2
Anzahl der Seiten
640
Kontakt zum Hersteller
Nicht verfügbar
Verantwortliche Person
Nicht verfügbar