Tsay Analysis of Financial Time Series

2. Auflage 2005
ISBN: 978-0-471-74618-8
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 576 Seiten, E-Book

Reihe: Wiley Series in Probability and Statistics

Provides statistical tools and techniques needed to understandtoday's financial markets
The Second Edition of this critically acclaimed text provides acomprehensive and systematic introduction to financial econometricmodels and their applications in modeling and predicting financialtime series data. This latest edition continues to emphasizeempirical financial data and focuses on real-world examples.Following this approach, readers will master key aspects offinancial time series, including volatility modeling, neuralnetwork applications, market microstructure and high-frequencyfinancial data, continuous-time models and Ito's Lemma, Value atRisk, multiple returns analysis, financial factor models, andeconometric modeling via computation-intensive methods.
The author begins with the basic characteristics of financialtime series data, setting the foundation for the three maintopics:
* Analysis and application of univariate financial timeseries
* 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® commands and illustrations.Exercises have been thoroughly updated and expanded and include themost current data, providing readers with more opportunities to putthe models and methods into practice. Among the new material addedto the text, readers will find:
* Consistent covariance estimation under heteroscedasticity andserial 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 adeeper understanding of financial markets through firsthandexperience in working with financial data. This is an idealtextbook for MBA students as well as a reference for researchersand professionals in business and finance.

Autoren/Hrsg.

Tsay, Ruey S.

Inhaltsverzeichnis

Preface.
Preface to First Edition.
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 TheirApplications.
11. State-Space Models and Kalman Filter.
12. Markov Chain Monte Carlo Methods with Applications.
Index.

Über Autor(innen)

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.