Analysis of financial time series:
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 describ...
Gespeichert in:
| Beteilige Person: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | Englisch |
| Veröffentlicht: |
Hoboken, N.J.
Wiley
2010
|
| Ausgabe: | 3rd ed. |
| Schriftenreihe: | Wiley series in probability and statistics
|
| Schlagwörter: | |
| Links: | https://learning.oreilly.com/library/view/-/9781118017098/?ar |
| Zusammenfassung: | 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. |
| Beschreibung: | Includes bibliographical references and index |
| Umfang: | 1 Online-Ressource (xxiii, 677 Seiten) illustrations |
| ISBN: | 9780470644560 0470644567 9780470644553 0470644559 9781118017098 1118017099 9780470414354 0470414359 9786612707834 6612707836 |
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| language | English |
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| physical | 1 Online-Ressource (xxiii, 677 Seiten) illustrations |
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| publishDate | 2010 |
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| publisher | Wiley |
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| spelling | Tsay, Ruey S. 1951- VerfasserIn aut Analysis of financial time series Ruey S. Tsay 3rd ed. Hoboken, N.J. Wiley 2010 1 Online-Ressource (xxiii, 677 Seiten) illustrations Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Wiley series in probability and statistics Includes bibliographical references and index 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. Time-series analysis Econometrics Risk management Série chronologique Économétrie Gestion du risque risk management BUSINESS & ECONOMICS ; Finance Risikomanagement Zeitreihenanalyse Ökonometrie Tidsserieanalys Ekonometri 9780470414354 Erscheint auch als Druck-Ausgabe 9780470414354 |
| spellingShingle | Tsay, Ruey S. 1951- Analysis of financial time series Time-series analysis Econometrics Risk management Série chronologique Économétrie Gestion du risque risk management BUSINESS & ECONOMICS ; Finance Risikomanagement Zeitreihenanalyse Ökonometrie Tidsserieanalys Ekonometri |
| 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 | Time-series analysis Econometrics Risk management Série chronologique Économétrie Gestion du risque risk management BUSINESS & ECONOMICS ; Finance Risikomanagement Zeitreihenanalyse Ökonometrie Tidsserieanalys Ekonometri |
| topic_facet | Time-series analysis Econometrics Risk management Série chronologique Économétrie Gestion du risque risk management BUSINESS & ECONOMICS ; Finance Risikomanagement Zeitreihenanalyse Ökonometrie Tidsserieanalys Ekonometri |
| work_keys_str_mv | AT tsayrueys analysisoffinancialtimeseries |