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Analysis of Financial Time Series
Ruey S. Tsay
€ 151.39
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Description for Analysis of Financial Time Series
Hardcover. Analysis of Financial Time Series, Third Edition 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. Num Pages: 712 pages, Illustrations. BIC Classification: KCHS; KFF; PBT. Category: (P) Professional & Vocational. Dimension: 236 x 164 x 40. Weight in Grams: 1118. Series: Wiley Desktop Editions. 712 pages, Illustrations. Analysis of Financial Time Series, Third Edition 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. Cateogry: (P) Professional & Vocational. BIC Classification: KCHS; KFF; PBT. Dimension: 236 x 164 x 40. Weight: 1134.
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.
Product Details
Publisher
John Wiley & Sons Inc
Number of pages
712
Format
Hardback
Publication date
2010
Condition
New
Number of Pages
720
Place of Publication
New York, United States
ISBN
9780470414354
SKU
V9780470414354
Shipping Time
Usually ships in 4 to 8 working days
Ref
99-2
About Ruey S. Tsay
RUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. Dr. Tsay has written over 100 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control, and he is the coauthor of A Course in Time Series Analysis (Wiley). Dr. Tsay is a Fellow of the American Statistical Association, the Institute of Mathematical Statistics, the Royal Statistical Society, and Academia Sinica.
Reviews for Analysis of Financial Time Series
"Analysis of financial time series, third edition, is an ideal book for introductory courses on time series at the graduate level and a valuable supplement for statistics courses in time series at the upper-undergraduate level." (Mathematical Reviews, 2011) "Nevertheless, all in all the book can be a very useful reference for students as well as for professionals." (Zentralblatt MATH, 2011) "Factor models, an important technique used in quantitative finance, are given a full treatment with macroeconomic factor models and fundamental factor models. The coverage of the book is comprehensive. It starts from basic time series techniques and finishes with advanced concepts such as state space models and MCMC methods. There is a balance between the theoretical background necessary to appreciate the nuances and the practical aspect of implementation. More importantly it gives insights about what time series models can't address. The book has an excellent supporting website which has all the programs and data sets which helps to internalize the concepts. Finally, teaching professionals should find the solutions manual as a valuable tool to explain concepts and to ensure understanding." (BookPleasures.com, January 2011) "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." (Insurance News Net, 8 December 2010)