Analysis of financial time series

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This book provides a broad, mature, and systematic introduction tocurrent financial econometric models and their applications tomodeling and prediction of financial time series data. It utilizesreal-w...
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This book provides a broad, mature, and systematic introduction tocurrent financial econometric models and their applications tomodeling and prediction of financial time series data. It utilizesreal-world examples and real financial data throughout the book toapply the models and methods described.

The author begins with basic characteristics of financial timeseries data before covering three main topics: * Analysis and application of univariate financial timeseries * The return series of multiple assets * Bayesian inference in finance methods

Key features of the new edition include additional coverage ofmodern day topics such as arbitrage, pair trading, realizedvolatility, and credit risk modeling; a smooth transition fromS-Plus to R; and expanded empirical financial data sets.

The overall objective of the book is to provide some knowledgeof financial time series, introduce some statistical tools usefulfor analyzing these series and gain experience in financialapplications of various econometric methods.

Uitgever John Wiley & Sons Ltd
Druk 3
ISBN/EAN 9780470414354
Auteur Tsay, R.S.
Vakken economie en ondernemen

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