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  • Sách tham khảo
  • Ký hiệu PL/XG: 332 TS-R
    Nhan đề: Analysis of financial time series /
DDC 332
Tác giả CN Tsay, Ruey S.
Nhan đề Analysis of financial time series / Ruey S. Tsay
Lần xuất bản 2sd Ed.
Thông tin xuất bản Hoboken, N.J. : Wiley ; Chichester : John Wiley & Sons, 2005
Mô tả vật lý xxi, 605 p. ; 24cm.
Tóm tắt 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.
Từ khóa Econometrics
Từ khóa Risk management
Từ khóa Time-series analysis
Địa chỉ 100Kho Sách tham khảo(2): 102001887-8
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082 |a332|bTS-R
100 |aTsay, Ruey S.
245 |aAnalysis of financial time series / |cRuey S. Tsay
250 |a2sd Ed.
260 |aHoboken, N.J. : Wiley ; Chichester : |bJohn Wiley & Sons, |c2005
300 |axxi, 605 p. ; |c24cm.
520 |aThis 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.
653 |aEconometrics
653 |aRisk management
653 |aTime-series analysis
852|a100|bKho Sách tham khảo|j(2): 102001887-8
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890|a2
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