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Analysis of Financial Time Series : Financial Econometrics by Ruey S. Tsay is a nonfiction available to read on EtoBox.

What is Analysis of Financial Time Series : Financial Econometrics about?

Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real & ndash;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; and Bayesian inference in finance methods. Timely topics and recent results include: Value at Risk (VaR) High & ndash;frequency financial data analysis Markov Chain Monte Carlo (MCMC) methods Derivative pricing using jump diffusion with closed & ndash;form formulas VaR calculation using extreme value theory based on a non & ndash;homogeneous two & ndash;dimensional Poisson process Multivariate volatility models with time & ndash;varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analys

Who reads Analysis of Financial Time Series : Financial Econometrics?

Author

Ruey S. Tsay

Publisher

John Wiley & Sons, Inc. [US]

Published

2001

Language

EN

ISBN

9780471415442

Category

nonfiction

Subjects

Management, Finance, Economics