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Tsay, Ruey S.

Analysis of Financial Time Series

Tsay, Ruey S. - Analysis of Financial Time Series, ebook

127,20€

Ebook, ePUB with Adobe DRM
ISBN: 9781118017098
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Printing203 pages with an additional page accrued every 4 hours, capped at 203 pages
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This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications 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
  • Bayesian inference in finance methods

Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets.

The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.

Keywords: financial econometrics, financial econometric models, univariate financial time series, return series of multiple assets, Bayesian inference in finance methods

Author(s)
Publisher
John Wiley and Sons, Inc.
Publication year
2010
Language
en
Edition
3
Series
Wiley Series in Probability and Statistics
Page amount
672 pages
Category
Economy
Format
Ebook
eISBN (ePUB)
9781118017098
Printed ISBN
9780470414354

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