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An introduction to analysis of financial data with R

An introduction to analysis of financial data with R

Tsay, Ruey S

Hardback, Book. English.
Published Hoboken, N.J.: Wiley, 2013
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Details

Statement of responsibility: Ruey S. Tsay
ISBN: 0470890819, 9780470890813
Note: Includes bibliographical references and index.
Physical Description: xiv, 390 p. : ill. ; 25 cm.
Subject: Time-series analysis.; Econometrics.; Finance Econometric models.; R (Computer program language)

Contents

  1. Preface
  2. Financial data and their properties
  3. Linear models for financial time series
  4. Case studies of linear time series
  5. Asset volatility and volatility models
  6. Applications of volatility models
  7. High frequency financial data
  8. Value at risk
  9. Index.