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Analysis Of Financial Time Series, 3Rd Ed

Analysis Of Financial Time Series, 3Rd Ed


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About the Book

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 and Bayesian inference in finance methods. 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.

About the Author

Ruey S. Tsay is H. G. R. Alexander Professor of Econometrics and Statistics in the Graduate School of Business at the University of Chicago. He is the 2003 recipient of the John Wiley & Sons, Inc. Award for "Excellence in Writing." He lectures throughout the world on topics as diverse as business and economic forecasting, data analysis, risk management and process control.



Table of Contents:
• Preface • Preface to the Second Edition • Preface to the First Edition • Financial Time Series and Their Characteristics • Linear Time Series Analysis and Its Applications • Conditional Heteroscedastic Models • Nonlinear Models and Their Applications • High-Frequency Data Analysis and Market Microstructure • Continuous-Time Models and Their Applications • Extreme Values, Quantiles and Value at Risk • Multivariate Time Series Analysis and Its Applications • Principal Component Analysis and Factor Models • Multivariate Volatility Models and Their Applications • State-Space Models and Kalman Filter • Markov Chain Monte Carlo Methods with Applications • Exercises • References • Index


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Product Details
  • ISBN-13: 9788126548934
  • Publisher: Wiley India Pvt Ltd
  • Binding: Paperback
  • Language: English
  • ISBN-10: 8126548932
  • Publisher Date: 2014
  • Edition: 3
  • No of Pages: 712

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