Analysis of Financial Time Series [NOOK Book]

Overview

"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 ...
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Analysis of Financial Time Series

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Overview

"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." The tools provided in this text aid readers in developing a deeper understanding of financial markets through firsthand experience in working with financial data. This is an ideal textbook for MBA students as well as a reference for researchers and professionals in business and finance.
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Editorial Reviews

From the Publisher
"…too wonderful [a] book to be missed by any one who works in time series analysis." (Journal of Statistical Computation and Simulation, October 2006)

"...an excellent account of financial time series...[for] students and especially to practitioners, who really need a book with enough...theoretical concepts...but also with plenty of intuitive insight of how exactly these models work…" (MAA Reviews, January 2, 2006)

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Product Details

  • ISBN-13: 9781118017098
  • Publisher: Wiley
  • Publication date: 10/26/2010
  • Series: CourseSmart , #877
  • Sold by: Barnes & Noble
  • Format: eBook
  • Edition number: 3
  • Pages: 712
  • Sales rank: 1,098,543
  • File size: 26 MB
  • Note: This product may take a few minutes to download.

Meet the Author

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.
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Table of Contents

1 Financial time series and their characteristics 1
2 Linear time series analysis and its applications 24
3 Conditional heteroscedastic models 97
4 Nonlinear models and their applications 154
5 High-frequency data analysis and market microstructure 206
6 Continuous-time models and their applications 251
7 Extreme values, quantile estimation, and value at risk 287
8 Multivariate time series analysis and its applications 339
9 Principal component analysis and factor models 405
10 Multivariate volatility models and their applications 443
11 State-space models and Kalman filter 490
12 Markov chain Monte Carlo methods with applications 543
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