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ANALYSIS OF FINANCIAL TIME SERIES : FINANCIAL ECONOMETRICS

TSAY, RUEY S., 1951-

2002

BOOK
Category

BANKING

Abstract 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.

ISBN 0471415448
Author(s) TSAY, RUEY S., 1951-
Credits
Edition 1ST ED.
Year 2002
Publisher JOHN WILEY & SONS
Type BOOK
Keywords FINANCE, ECONOMETRICS
Language English
Collation 448 P., 25 CM.

Availability and Location Reserve

Copy No Library Stack Shelf Is Reference Status Return Date
1 Limassol X 6 No A