Analysis of financial time series:
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Hoboken, N.J.
Wiley-Interscience
2005
|
| Ausgabe: | 2. ed. |
| Schriftenreihe: | Wiley series in probability and statistics
|
| Schlagwörter: | |
| Links: | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013527975&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| Beschreibung: | Includes bibliographical references and index |
| Umfang: | XXI, 605 S. Ill., graph. Darst. |
| ISBN: | 9780471690740 0471690740 |
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| 245 | 1 | 0 | |a Analysis of financial time series |c Ruey S. Tsay |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Hoboken, N.J. |b Wiley-Interscience |c 2005 | |
| 300 | |a XXI, 605 S. |b Ill., graph. Darst. | ||
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| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Wiley series in probability and statistics | |
| 500 | |a Includes bibliographical references and index | ||
| 650 | 7 | |a Finances |2 rasuqam | |
| 650 | 7 | |a Financiële gegevens |2 gtt | |
| 650 | 4 | |a Gestion du risque | |
| 650 | 7 | |a Modèle économétrique |2 rasuqam | |
| 650 | 4 | |a Série chronologique | |
| 650 | 7 | |a Série chronologique |2 rasuqam | |
| 650 | 7 | |a Tijdreeksen |2 gtt | |
| 650 | 7 | |a Valeur à risque |2 rasuqam | |
| 650 | 4 | |a Économétrie | |
| 650 | 4 | |a Time-series analysis | |
| 650 | 4 | |a Econometrics | |
| 650 | 4 | |a Risk management | |
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Datensatz im Suchindex
| _version_ | 1819333082716569600 |
|---|---|
| adam_text | CONTENTS PREFACE XVII PREFACE TO FIRST EDITION XIX !* FINANCIAL TIME
SERIES AND THEIR CHARACTERISTICS 1 11 ASSET RETURNS, 2 1.2
DISTRIBUTIONAL PROPERTIES OF RETURNS, 7 1.2.1 REVIEW OF STATISTICAL
DISTRIBUTIONS AND THEIR MOMENTS, 7 1.2.2 DISTRIBUTIONS OF RETURNS, 13
1.2.3 MULTIVARIATE RETURNS, 16 1.2.4 LIKELIHOOD FUNCTION OF RETURNS, 17
1.2.5 EMPIRICAL PROPERTIES OF RETURNS, 17 1-3 PROCESSES CONSIDERED, 20
EXERCISES, 22 REFERENCES, 23 2 LINEAR TIME SERIES ANALYSIS AND ITS
APPLICATIONS 24 2.1 STATIONARITY, 25 2.2 CORRELATION AND AUTOCORRELATION
FUNCTION, 25 2.3 WHITE NOISE AND LINEAR TIME SERIES, 31 2.4 SIMPLE
AUTOREGRESSIVE MODELS, 32 2.4.1 PROPERTIES OF AR MODELS, 33 2.4.2
IDENTIFYING AR MODELS IN PRACTICE, 40 2.4.3 GOODNESS OF FIT, 46 2.4.4
FORECASTING, 47 VII CONTENTS 2.5 SIMPLE MOVING-AVERAGE MODELS, 50 2.5.1
PROPERTIES OF MA MODELS, 51 2.5.2 IDENTIFYING MA ORDER, 52 2.5.3
ESTIMATION, 53 2.5.4 FORECASTING USING MA MODELS, 54 2.6 SIMPLE ARMA
MODELS, 56 2.6.1 PROPERTIES OF ARMA( 1,1) MODELS, 57 2.6.2 GENERAL ARMA
MODELS, 58 2.6.3 IDENTIFYING ARMA MODELS, 59 2.6.4 FORECASTING USING AN
ARMA MODEL, 61 2.6.5 THREE MODEL REPRESENTATIONS FOR AN ARMA MODEL, 62
2.7 UNIT-ROOT NONSTATIONARITY, 64 2.7.1 RANDOM WALK, 64 2.7.2 RANDOM
WALK WITH DRIFT, 65 2.7.3 TREND-STATIONARY TIME SERIES, 67 2.7.4 GENERAL
UNIT-ROOT NONSTATIONARY MODELS, 67 2.7.5 UNIT-ROOT TEST, 68 2.8 SEASONAL
MODELS, 72 2.8.1 SEASONAL DIFFERENCING, 73 2.8.2 MULTIPLICATIVE SEASONAL
MODELS, 75 2.9 REGRESSION MODELS WITH TIME SERIES ERRORS, 80 2.10
CONSISTENT COVARIANCE MATRIX ESTIMATION, 86 2.11 LONG-MEMORY MODELS, 89
APPENDIX: SOME SCA COMMANDS, 91 EXERCISES, 93 REFERENCES, 96 3.
CONDITIONAL HETEROSCEDASTIC MODELS 97 3.1 CHARACTERISTICS OF VOLATILITY,
98 3.2 STRUCTURE OF A MODEL, 99 3.3 MODEL BUILDING, 101 3.3.1 TESTING
FOR ARCH EFFECT, 101 3.4 THE ARCH MODEL, 102 3.4.1 PROPERTIES OF ARCH
MODELS, 104 3.4.2 WEAKNESSES OF ARCH MODELS, 106 3.4.3 BUILDING AN ARCH
MODEL, 106 3.4.4 SOME EXAMPLES, 109 3.5 THE GARCH MODEL, 113 3.5.1 AN
ILLUSTRATIVE EXAMPLE, 116 CONTENTS 3.5.2 FORECASTING EVALUATION, 121
3.5.3 A TWO-PASS ESTIMATION METHOD, 121 3.6 THE INTEGRATED GARCH MODEL,
122 3.7 THE GARCH-M MODEL, 123 3.8 THE EXPONENTIAL GARCH MODEL, 124
3.8.1 AN ALTERNATIVE MODEL FORM, 125 3.8.2 AN ILLUSTRATIVE EXAMPLE, 126
3.8.3 SECOND EXAMPLE, 126 3.8.4 FORECASTING USING AN EGARCH MODEL, 128
3.9 THE THRESHOLD GARCH MODEL, 130 3.10 THE CHARM A MODEL, 131 3.10.1
EFFECTS OF EXPLANATORY VARIABLES, 133 3.11 RANDOM COEFFICIENT
AUTOREGRESSIVE MODELS, 133 3.12 THE STOCHASTIC VOLATILITY MODEL, 134
3.13 THE LONG-MEMORY STOCHASTIC VOLATILITY MODEL, 134 3.14 APPLICATION,
136 3.15 ALTERNATIVE APPROACHES, 140 3.15.1 USE OF HIGH-FREQUENCY DATA,
140 3.15.2 USE OF DAILY OPEN, HIGH, LOW, AND CLOSE PRICES, 143 3.16
KURTOSIS OF GARCH MODELS, 145 APPENDIX: SOME RATS PROGRAMS FOR
ESTIMATING VOLATILITY MODELS, 147 EXERCISES, 148 REFERENCES, 1 51
NONLINEAR MODELS AND THEIR APPLICATIONS 154 4.1 NONLINEAR MODELS, 156
4.1.1 BILINEAR MODEL, 156 4.1.2 THRESHOLD AUTOREGRESSIVE (TAR) MODEL,
157 4.1.3 SMOOTH TRANSITION AR (STAR) MODEL, 163 4.1.4 MARKOV SWITCHING
MODEL, 164 4.1.5 NONPARAMETRIC METHODS, 167 4.1.6 FUNCTIONAL COEFFICIENT
AR MODEL, 175 4.1.7 NONLINEAR ADDITIVE AR MODEL, 176 4.1.8 NONLINEAR
STATE-SPACE MODEL, 176 4.1.9 NEURAL NETWORKS, 177 4.2 NONLINEARITY
TESTS, 183 4.2.1 NONPARAMETRIC TESTS, 183 4.2.2 PARAMETRIC TESTS, 186
4.2.3 APPLICATIONS, 190 X CONTENTS 4.3 MODELING, 191 4.4 FORECASTING,
192 4.4.1 PARAMETRIC BOOTSTRAP, 192 4.4.2 FORECASTING EVALUATION, 192
4.5 APPLICATION, 194 APPENDIX A: SOME RATS PROGRAMS FOR NONLINEAR
VOLATILITY MODELS, 199 APPENDIX B: S-PLUS COMMANDS FOR NEURAL NETWORK,
200 EXERCISES, 200 REFERENCES, 202 5. HIGH-FREQUENCY DATA ANALYSIS AND
MARKET MICROSTRUCTURE 206 5.1 NONSYNCHRONOUS TRADING, 207 5.2 BID-ASK
SPREAD, 210 5.3 EMPIRICAL CHARACTERISTICS OF TRANSACTIONS DATA, 212 5.4
MODELS FOR PRICE CHANGES, 218 5.4.1 ORDERED PROBIT MODEL, 218 5.4.2 A
DECOMPOSITION MODEL, 221 5.5 DURATION MODELS, 225 5.5.1 THE ACD MODEL,
227 5.5.2 SIMULATION, 229 5.5.3 ESTIMATION, 232 5.6 NONLINEAR DURATION
MODELS, 236 5.7 BIVARIATE MODELS FOR PRICE CHANGE AND DURATION, 237
APPENDIX A: REVIEW OF SOME PROBABILITY DISTRIBUTIONS, 242 APPENDIX B:
HAZARD FUNCTION, 245 APPENDIX C: SOME RATS PROGRAMS FOR DURATION MODELS,
246 EXERCISES, 248 REFERENCES, 250 6. CONTINUOUS-TIME MODELS AND THEIR
APPLICATIONS 251 6.1 OPTIONS, 252 6.2 SOME CONTINUOUS-TIME STOCHASTIC
PROCESSES, 252 6.2.1 THE WIENER PROCESS, 253 6.2.2 GENERALIZED WIENER
PROCESSES, 255 6.2.3 ITO PROCESSES, 256 6.3 ITO S LEMMA, 256 6.3.1
REVIEW OF DIFFERENTIATION, 256 6.3.2 STOCHASTIC DIFFERENTIATION, 257
CONTENTS XI 6.3.3 AN APPLICATION, 258 6.3.4 ESTIMATION OF FX AND A, 259
6.4 DISTRIBUTIONS OF STOCK PRICES AND LOG RETURNS, 261 6.5 DERIVATION OF
BLACK-SCHOLES DIFFERENTIAL EQUATION, 262 6.6 BLACK-SCHOLES PRICING
FORMULAS, 264 6.6.1 RISK-NEUTRAL WORLD, 264 6.6.2 FORMULAS, 264 6.6.3
LOWER BOUNDS OF EUROPEAN OPTIONS, 267 6.6.4 DISCUSSION, 268 6.7 AN
EXTENSION OF ITO S LEMMA, 272 6.8 STOCHASTIC INTEGRAL, 273 6.9 JUMP
DIFFUSION MODELS, 274 6.9.1 OPTION PRICING UNDER JUMP DIFFUSION, 279
6.10 ESTIMATION OF CONTINUOUS-TIME MODELS, 282 APPENDIX A: INTEGRATION
OF BLACK-SCHOLES FORMULA, 282 APPENDIX B: APPROXIMATION TO STANDARD
NORMAL PROBABILITY, 284 EXERCISES, 284 REFERENCES, 285 ?* EXTREME
VALUES, QUANTILE ESTIMATION, AND VALUE AT RISK 287 7.1 VALUE AT RISK,
287 7.2 RISKMETRICS, 290 7.2.1 DISCUSSION, 293 7.2.2 MULTIPLE POSITIONS,
293 7.3 AN ECONOMETRIC APPROACH TO VAR CALCULATION, 294 7.3.1 MULTIPLE
PERIODS, 296 7.4 QUANTILE ESTIMATION, 298 7.4.1 QUANTILE AND ORDER
STATISTICS, 299 7.4.2 QUANTILE REGRESSION, 300 7.5 EXTREME VALUE THEORY,
301 7.5.1 REVIEW OF EXTREME VALUE THEORY, 301 7.5.2 EMPIRICAL
ESTIMATION, 304 7.5.3 APPLICATION TO STOCK RETURNS, 307 7.6 EXTREME
VALUE APPROACH TO VAR, 311 7.6.1 DISCUSSION, 314 7.6.2 MULTIPERIOD VAR,
316 7.6.3 VAR FOR A SHORT POSITION, 316 7.6.4 RETURN LEVEL, 317 XLL
CONTENTS 7.7 A NEW APPROACH BASED ON THE EXTREME VALUE THEORY, 318 7.7.1
STATISTICAL THEORY, 318 7.7.2 MEAN EXCESS FUNCTION, 320 7.7.3 A NEW
APPROACH TO MODELING EXTREME VALUES, 322 7.7.4 VAR CALCULATION BASED ON
THE NEW APPROACH, 324 7.7.5 AN ALTERNATIVE PARAMETERIZATION, 325 7.7.6
USE OF EXPLANATORY VARIABLES, 328 7.7.7 MODEL CHECKING, 329 7.7.8 AN
ILLUSTRATION, 330 EXERCISES, 335 REFERENCES, 337 8. MULTIVARIATE TIME
SERIES ANALYSIS AND ITS APPLICATIONS 339 8.1 WEAK STATIONARITY AND
CROSS-CORRELATION MATRICES, 340 8.1.1 CROSS-CORRELATION MATRICES, 340
8.1.2 LINEAR DEPENDENCE, 341 8.1.3 SAMPLE CROSS-CORRELATION MATRICES,
342 8.1.4 MULTIVARIATE PORTMANTEAU TESTS, 346 8.2 VECTOR AUTOREGRESSIVE
MODELS, 349 8.2.1 REDUCED AND STRUCTURAL FORMS, 349 8.2.2 STATIONARITY
CONDITION AND MOMENTS OF A VAR(L) MODEL, 351 8.2.3 VECTOR AR(P) MODELS,
353 8.2.4 BUILDING A VAR(/ ) MODEL, 354 8.2.5 IMPULSE RESPONSE FUNCTION,
362 8.3 VECTOR MOVING-AVERAGE MODELS, 365 8.4 VECTOR ARMA MODELS, 371
8.4.1 MARGINAL MODELS OF COMPONENTS, 375 8.5 UNIT-ROOT NONSTATIONARITY
AND COINTEGRATION, 376 8.5.1 AN ERROR-CORRECTION FORM, 379 8.6
COINTEGRATED VAR MODELS, 380 8.6.1 SPECIFICATION OF THE DETERMINISTIC
FUNCTION, 382 8.6.2 MAXIMUM LIKELIHOOD ESTIMATION, 383 8.6.3 A
COINTEGRATION TEST, 384 8.6.4 FORECASTING OF COINTEGRATED VAR MODELS,
385 8.6.5 AN EXAMPLE, 385 8.7 THRESHOLD COINTEGRATION AND ARBITRAGE, 390
8.7.1 MULTIVARIATE THRESHOLD MODEL, 391 8.7.2 THE DATA, 392 CONTENTS
8.7.3 ESTIMATION, 393 APPENDIX A: REVIEW OF VECTORS AND MATRICES, 395
APPENDIX B: MULTIVARIATE NORMAL DISTRIBUTIONS, 399 APPENDIX C: SOME SCA
COMMANDS, 400 EXERCISES, 401 REFERENCES, 402 9. PRINCIPAL COMPONENT
ANALYSIS AND FACTOR MODELS 405 9.1 A FACTOR MODEL, 406 9.2
MACROECONOMETRIC FACTOR MODELS, 407 9.2.1 A SINGLE-FACTOR MODEL, 408
9.2.2 MULTIFACTOR MODELS, 412 9.3 FUNDAMENTAL FACTOR MODELS, 414 9.3.1
BARRA FACTOR MODEL, 414 9.3.2 FAMA*FRENCH APPROACH, 420 9.4 PRINCIPAL
COMPONENT ANALYSIS, 421 9.4.1 THEORY OF PCA, 421 9.4.2 EMPIRICAL PCA,
422 9.5 STATISTICAL FACTOR ANALYSIS, 426 9.5.1 ESTIMATION, 428 9.5.2
FACTOR ROTATION, 429 9.5.3 APPLICATIONS, 430 9.6 ASYMPTOTIC PRINCIPAL
COMPONENT ANALYSIS, 436 9.6.1 SELECTING THE NUMBER OF FACTORS, 437 9.6.2
AN EXAMPLE, 437 EXERCISES, 440 REFERENCES, 441 10. MULTIVARIATE
VOLATILITY MODELS AND THEIR APPLICATIONS 443 10.1 EXPONENTIALLY WEIGHTED
ESTIMATE, 444 10.2 SOME MULTIVARIATE GARCH MODELS, 447 10.2.1 DIAGONAL
VEC MODEL, 447 10.2.2 BEKK MODEL, 451 10.3 REPARAMETERIZATION, 454
10.3.1 USE OF CORRELATIONS, 454 10.3.2 CHOLESKY DECOMPOSITION, 455 10.4
GARCH MODELS FOR BIVARIATE RETURNS, 459 10.4.1 CONSTANT-CORRELATION
MODELS, 459 10.4.2 TIME-VARY ING CORRELATION MODELS, 464 XIV CONTENTS
10.4.3 SOME RECENT DEVELOPMENTS, 470 10.5 HIGHER DIMENSIONAL VOLATILITY
MODELS, 471 10.6 FACTOR-VOLATILITY MODELS, 477 10.7 APPLICATION, 480
10.8 MULTIVARIATE T DISTRIBUTION, 482 APPENDIX: SOME REMARKS ON
ESTIMATION, 483 EXERCISES, 488 REFERENCES, 489 11. STATE-SPACE MODELS
AND KALMAN FILTER 490 11.1 LOCAL TREND MODEL, 490 11.1.1 STATISTICAL
INFERENCE, 493 11.1.2 KALMAN FILTER, 495 11.1.3 PROPERTIES OF FORECAST
ERROR, 496 11.1.4 STATE SMOOTHING, 498 11.1.5 MISSING VALUES, 501 11.1.6
EFFECT OF INITIALIZATION, 503 11.1.7 ESTIMATION, 504 11.1.8 S-PLUS
COMMANDS USED, 505 11.2 LINEAR STATE-SPACE MODELS, 508 11.3 MODEL
TRANSFORMATION, 509 11.3.1 CAPM WITH TIME-VARYING COEFFICIENTS, 510
11.3.2 ARMA MODELS, 512 11.3.3 LINEAR REGRESSION MODEL, 518 11.3.4
LINEAR REGRESSION MODELS WITH ARMA ERRORS, 519 11.3.5 SCALAR UNOBSERVED
COMPONENT MODEL, 521 11.4 KALMAN FILTER AND SMOOTHING, 523 11.4.1 KALMAN
FILTER, 523 11.4.2 STATE ESTIMATION ERROR AND FORECAST ERROR, 525 11.4.3
STATE SMOOTHING, 526 11.4.4 DISTURBANCE SMOOTHING, 528 11.5 MISSING
VALUES, 531 11.6 FORECASTING, 532 11.7 APPLICATION, 533 EXERCISES, 540
REFERENCES, 541 CONTENTS XV 12. MARKOV CHAIN MONTE CARLO METHODS WITH
APPLICATIONS 543 12.1 MARKOV CHAIN SIMULATION, 544 12.2 GIBBS SAMPLING,
545 12.3 BAYESIAN INFERENCE, 547 12.3.1 POSTERIOR DISTRIBUTIONS, 547
12.3.2 CONJUGATE PRIOR DISTRIBUTIONS, 548 12.4 ALTERNATIVE ALGORITHMS,
551 12.4.1 METROPOLIS ALGORITHM, 551 12.4.2 METROPOLIS *HASTING
ALGORITHM, 552 12.4.3 GRIDDY GIBBS, 552 12.5 LINEAR REGRESSION WITH TIME
SERIES ERRORS, 553 12.6 MISSING VALUES AND OUTLIERS, 558 12.6.1 MISSING
VALUES, 559 12.6.2 OUTLIER DETECTION, 561 12.7 STOCHASTIC VOLATILITY
MODELS, 565 12.7.1 ESTIMATION OF UNIVARIATE MODELS, 566 12.7.2
MULTIVANATE STOCHASTIC VOLATILITY MODELS, 571 12.8 A NEW APPROACH TO SV
ESTIMATION, 578 12.9 MARKOV SWITCHING MODELS, 588 12.10 FORECASTING, 594
12.11 OTHER APPLICATIONS, 597 EXERCISES, 597 REFERENCES, 598 INDEX 601
|
| any_adam_object | 1 |
| author | Tsay, Ruey S. 1951- |
| author_GND | (DE-588)13189160X |
| author_facet | Tsay, Ruey S. 1951- |
| author_role | aut |
| author_sort | Tsay, Ruey S. 1951- |
| author_variant | r s t rs rst |
| building | Verbundindex |
| bvnumber | BV020822633 |
| callnumber-first | H - Social Science |
| callnumber-label | HA30 |
| callnumber-raw | HA30.3 HA30.3T76 2005 |
| callnumber-search | HA30.3 HA30.3T76 2005 |
| callnumber-sort | HA 230.3 |
| callnumber-subject | HA - Statistics |
| classification_rvk | QH 237 QH 300 SK 835 SK 845 SK 980 |
| ctrlnum | (OCoLC)58807344 (DE-599)BVBBV020822633 |
| dewey-full | 332/.01/5195522 332/.01/51955 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332/.01/51955 22 332/.01/51955 |
| dewey-search | 332/.01/51955 22 332/.01/51955 |
| dewey-sort | 3332 11 551955 222 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV020822633 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T12:13:11Z |
| institution | BVB |
| isbn | 9780471690740 0471690740 |
| language | English |
| lccn | 2005047030 |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-013527975 |
| oclc_num | 58807344 |
| open_access_boolean | |
| owner | DE-703 DE-19 DE-BY-UBM DE-29T DE-739 DE-945 DE-521 DE-384 DE-83 DE-11 DE-2070s DE-188 |
| owner_facet | DE-703 DE-19 DE-BY-UBM DE-29T DE-739 DE-945 DE-521 DE-384 DE-83 DE-11 DE-2070s DE-188 |
| physical | XXI, 605 S. Ill., graph. Darst. |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | Wiley-Interscience |
| record_format | marc |
| series2 | Wiley series in probability and statistics |
| spellingShingle | Tsay, Ruey S. 1951- Analysis of financial time series Finances rasuqam Financiële gegevens gtt Gestion du risque Modèle économétrique rasuqam Série chronologique Série chronologique rasuqam Tijdreeksen gtt Valeur à risque rasuqam Économétrie Time-series analysis Econometrics Risk management Zeitreihenanalyse (DE-588)4067486-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Risikomanagement (DE-588)4121590-4 gnd Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| subject_GND | (DE-588)4067486-1 (DE-588)4073788-3 (DE-588)4121590-4 (DE-588)4132280-0 (DE-588)4043212-9 |
| title | Analysis of financial time series |
| title_auth | Analysis of financial time series |
| title_exact_search | Analysis of financial time series |
| title_full | Analysis of financial time series Ruey S. Tsay |
| title_fullStr | Analysis of financial time series Ruey S. Tsay |
| title_full_unstemmed | Analysis of financial time series Ruey S. Tsay |
| title_short | Analysis of financial time series |
| title_sort | analysis of financial time series |
| topic | Finances rasuqam Financiële gegevens gtt Gestion du risque Modèle économétrique rasuqam Série chronologique Série chronologique rasuqam Tijdreeksen gtt Valeur à risque rasuqam Économétrie Time-series analysis Econometrics Risk management Zeitreihenanalyse (DE-588)4067486-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Risikomanagement (DE-588)4121590-4 gnd Ökonometrie (DE-588)4132280-0 gnd Ökonometrisches Modell (DE-588)4043212-9 gnd |
| topic_facet | Finances Financiële gegevens Gestion du risque Modèle économétrique Série chronologique Tijdreeksen Valeur à risque Économétrie Time-series analysis Econometrics Risk management Zeitreihenanalyse Kreditmarkt Risikomanagement Ökonometrie Ökonometrisches Modell |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=013527975&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT tsayrueys analysisoffinancialtimeseries |