Analysis of financial time series

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 r...

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Bibliographic Details
Main Author: Tsay, Ruey S.
Format: eBook
Language:English
Published: Wiley-Blackwell 2005
Edition:Second edition
Series:Wiley series in probability and statistics
Subjects:
Online Access:
Collection: Wiley Online Books - Collection details see MPG.ReNa
Description
Summary: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.
Physical Description:641 S.
ISBN:9780471690740