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Analysis of financial time series

Analysis of financial time series

Tsay, Ruey S., 1951-

Hardback, Book. English.
Published Hoboken, N.J.: Wiley, c2010
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Statement of responsibility: Ruey S. Tsay
ISBN: 0470414359, 9780470414354
Note: Includes bibliographical references and index.
Note: Formerly CIP.
Physical Description: xxiii, 677 p. : ill. ; 25 cm.
Series: Wiley series in probability and statistics
Subject: Risk management.; Time-series analysis.; Econometrics.; Business mathematics.


  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, quantiles, and values 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.