Statement of responsibility: Ruey S. Tsay
ISBN: 0470890819, 9780470890813
Includes bibliographical references and index.
xiv, 390 p. : ill. ; 25 cm.
Time-series analysis.; Econometrics.; Finance Econometric models.; R (Computer program language)
- Financial data and their properties
- Linear models for financial time series
- Case studies of linear time series
- Asset volatility and volatility models
- Applications of volatility models
- High frequency financial data
- Value at risk