Skip to Content
Analysis of financial time series

Analysis of financial time series

Tsay, Ruey S., 1951-

Hardback, Book. English.
3rd.
Published Hoboken, N.J.: Wiley, c2010
Rate this

Available at all branches.

This item is not reservable because:

  • There are no reservable copies for this title. Please contact a member of library staff for further information.
  • National College Library – Three available in Reference 332.015 and Main Lending 332.015

    Barcode Shelfmark Loan type Status
    39006010640391 Main Lending 332.015 Main Lending Available
    39006010640383 Main Lending 332.015 Main Lending Available
    39006010640375 Reference 332.015 Reference Available

Details

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.

Contents

  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.