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Tsay, Ruey S., 1951-

Analysis of financial time series / Ruey S. Tsay - Third edition - xxiii, 677 pages : illustrations ; 25 cm - Wiley series in probability and statistics . - Wiley series in probability and statistics .

Includes bibliographical references and index

-- 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

ISBN: 9780470414354 0470414359

Subjects--Topical Terms:
Time-series analysis
Econometrics
Risk management

LC Class. No.: HA30.3 / .T76 2010

Dewey Class. No.: