Coverart for item
The Resource Analysis of financial time series, Ruey S. Tsay

Analysis of financial time series, Ruey S. Tsay

Label
Analysis of financial time series
Title
Analysis of financial time series
Statement of responsibility
Ruey S. Tsay
Creator
Subject
Language
eng
Summary
This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications 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; Bayesian inference in finance methods. Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods
Cataloging source
N$T
http://library.link/vocab/creatorDate
1951-
http://library.link/vocab/creatorName
Tsay, Ruey S.
Dewey number
332.01/51955
Illustrations
illustrations
Index
index present
LC call number
HA30.3
LC item number
T76 2010eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/subjectName
  • Time-series analysis
  • Econometrics
  • Risk management
  • BUSINESS & ECONOMICS
  • Econometrics
  • Risk management
  • Time-series analysis
  • Risikomanagement
  • Zeitreihenanalyse
  • Ökonometrie
  • Tidsserieanalys
  • Ekonometri
Label
Analysis of financial time series, Ruey S. Tsay
Instantiates
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
mixed
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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 value 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
Control code
662452540
Dimensions
unknown
Edition
3rd ed.
Extent
1 online resource (xxiii, 677 pages)
File format
unknown
Form of item
online
Isbn
9780470644553
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
  • 270783
  • ac9e6d4d-f660-44b9-92c8-8790d3b14b97
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)662452540
Label
Analysis of financial time series, Ruey S. Tsay
Publication
Antecedent source
unknown
Bibliography note
Includes bibliographical references and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
mixed
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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 value 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
Control code
662452540
Dimensions
unknown
Edition
3rd ed.
Extent
1 online resource (xxiii, 677 pages)
File format
unknown
Form of item
online
Isbn
9780470644553
Level of compression
unknown
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other physical details
illustrations
http://library.link/vocab/ext/overdrive/overdriveId
  • 270783
  • ac9e6d4d-f660-44b9-92c8-8790d3b14b97
Quality assurance targets
not applicable
Reformatting quality
unknown
Sound
unknown sound
Specific material designation
remote
System control number
(OCoLC)662452540

Library Locations

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      38.946102 -92.330125
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