MARC details
| 000 -LEADER |
|---|
| fixed length control field |
00539nam a2200157Ia 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
|---|
| fixed length control field |
110309s9999 xx 000 0 und d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
|---|
| International Standard Book Number |
978-81-265-2369-6 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
330.015195 |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Tsay, Ruey S. |
| 9 (RLIN) |
26503 |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Analysis of financial time series |
| Statement of responsibility, etc |
Ruey S Tsay |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Name of publisher, distributor, etc |
Wiley India Pvt. Ltd. |
| Place of publication, distribution, etc |
New Delhi |
| Date of publication, distribution, etc |
2005 |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
XXI, 605 p. |
| Other physical details |
Paper |
| 505 ## - FORMATTED CONTENTS NOTE |
|---|
| Formatted contents note |
1. Financial time series and their characteristics --<br/>2. Linear time series analysis and its applications --<br/>3. Conditional heteroscedastic models --<br/>4. Nonlinear models and their applications --<br/>5. High-frequency data analysis and market microstructure --<br/>6. Continuous-time models and their applications --<br/>7. Extreme values, quantile estimation, and value at risk --<br/>8. Multivariate time series analysis and its applications --<br/>9. Principal component analysis and factor models --<br/>10. Multivariate volatility models and their applications --<br/>11. State-space models and Kalman filter --<br/>12. Markov chain Monte Carlo methods with applications. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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."--Jacket. |
| 530 ## - ADDITIONAL PHYSICAL FORM AVAILABLE NOTE |
|---|
| Additional physical form available note |
4099 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Time-series analysis. |
| 9 (RLIN) |
26504 |
|
|---|
| Topical term or geographic name as entry element |
Econometrics |
| 9 (RLIN) |
26505 |
|
|---|
| Topical term or geographic name as entry element |
Risk management. |
| 9 (RLIN) |
26506 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Item type |
Book |
| Source of classification or shelving scheme |
Dewey Decimal Classification |
