TY  - BOOK
AU  - Tsay,Ruey S.
TI  - Analysis of financial time series
T2  - Wiley series in probability and statistics
SN  - 9780470414354
AV  - HA30.3 .T76 2010
PY  - 2010///]
CY  - Hoboken, N.J.
PB  - Wiley
KW  - Time-series analysis
KW  - Econometrics
KW  - Risk management
N1  - 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
ER  -