Statement of responsibility: Ruey S. Tsay
ISBN: 0470414359, 9780470414354
Includes bibliographical references and index.
xxiii, 677 p. : ill. ; 25 cm.
Wiley series in probability and statistics
Risk management.; Time-series analysis.; Econometrics.; Business mathematics.
- 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 values 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.