Tsay Analysis of Financial Time Series

3. Auflage 2010
ISBN: 978-1-118-01709-8
Verlag: John Wiley & Sons
Format: EPUB
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 720 Seiten, E-Book

This book provides a broad, mature, and systematic introduction tocurrent financial econometric models and their applications tomodeling and prediction of financial time series data. It utilizesreal-world examples and real financial data throughout the book toapply the models and methods described.
The author begins with basic characteristics of financial timeseries data before covering three main topics:
* Analysis and application of univariate financial timeseries
* The return series of multiple assets
* Bayesian inference in finance methods
Key features of the new edition include additional coverage ofmodern day topics such as arbitrage, pair trading, realizedvolatility, and credit risk modeling; a smooth transition fromS-Plus to R; and expanded empirical financial data sets.
The overall objective of the book is to provide some knowledgeof financial time series, introduce some statistical tools usefulfor analyzing these series and gain experience in financialapplications of various econometric methods.

Autoren/Hrsg.

Tsay, Ruey S.

Über Autor(innen)

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.