Analysis of Financial Time Series
Seiten
2001
John Wiley & Sons Inc (Verlag)
978-0-471-41544-2 (ISBN)
John Wiley & Sons Inc (Verlag)
978-0-471-41544-2 (ISBN)
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Introducing the theory and applications of time series methods, this book emphasizes on statistical content and applications. It provides professionals with methods for applying time series analysis to their work, along with real-life examples from financial markets.
Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real--world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods.
Timely topics and recent results include: Value at Risk (VaR) High--frequency financial data analysis Markov Chain Monte Carlo (MCMC) methods Derivative pricing using jump diffusion with closed--form formulas VaR calculation using extreme value theory based on a non--homogeneous two--dimensional Poisson process Multivariate volatility models with time--varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in--depth and up--to--date account of these vital methods.
Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real--world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods.
Timely topics and recent results include: Value at Risk (VaR) High--frequency financial data analysis Markov Chain Monte Carlo (MCMC) methods Derivative pricing using jump diffusion with closed--form formulas VaR calculation using extreme value theory based on a non--homogeneous two--dimensional Poisson process Multivariate volatility models with time--varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in--depth and up--to--date account of these vital methods.
RUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics in the Graduate School of Business at the University of Chicago.
Financial Time Series. Linear Time Series. Volatility Models. Nonlinear Time Series. High--Frequency Data. Continuous--Time Models. Value at Risk. Vector Time Series. Multivariate Volatility Models. MCMC Methods.
| Erscheint lt. Verlag | 21.12.2001 |
|---|---|
| Reihe/Serie | Wiley Series in Probability and Statistics |
| Zusatzinfo | Ill. |
| Verlagsort | New York |
| Sprache | englisch |
| Maße | 164 x 245 mm |
| Gewicht | 765 g |
| Einbandart | gebunden |
| Themenwelt | Mathematik / Informatik ► Mathematik |
| Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung | |
| Wirtschaft ► Betriebswirtschaft / Management ► Unternehmensführung / Management | |
| Wirtschaft ► Volkswirtschaftslehre ► Ökonometrie | |
| ISBN-10 | 0-471-41544-8 / 0471415448 |
| ISBN-13 | 978-0-471-41544-2 / 9780471415442 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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