000 00539nam a2200157Ia 4500
999 _c24665
_d24665
008 110309s9999 xx 000 0 und d
020 _a978-81-265-2369-6
082 _a330.015195
100 _aTsay, Ruey S.
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245 _aAnalysis of financial time series
_cRuey S Tsay
260 _bWiley India Pvt. Ltd.
_aNew Delhi
_c2005
300 _aXXI, 605 p.
_bPaper
505 _a 1. Financial time series and their characteristics -- 2. Linear time series analysis and its applications -- 3. Conditional heteroscedastic models -- 4. Nonlinear models and their applications -- 5. High-frequency data analysis and market microstructure -- 6. Continuous-time models and their applications -- 7. Extreme values, quantile estimation, and value at risk -- 8. Multivariate time series analysis and its applications -- 9. Principal component analysis and factor models -- 10. Multivariate volatility models and their applications -- 11. State-space models and Kalman filter -- 12. Markov chain Monte Carlo methods with applications.
520 _aThe 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 _a4099
650 _aTime-series analysis.
_926504
650 _aEconometrics
_926505
650 _aRisk management.
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942 _cBK
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