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Analysis of financial time series

Author: Ruey S Tsay
Publisher: New York : Wiley, ©2002.
Series: Wiley series in probability and statistics.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:
Introducing the theory and applications of time series methods, this book emphasizes on statistical content and applications. It provides professionals with methods for applying time series analysis to their work, along with real-life examples from financial markets.
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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Ruey S Tsay
ISBN: 0471415448 9780471415442
OCLC Number: 46847174
Notes: "A Wiley-Interscience publication."
Description: xii, 448 pages : illustrations ; 25 cm
Contents: Financial Time Series and Their Characteristics --
Asset Returns --
Distributional Properties of Returns --
Processes Considered --
Linear Time Series Analysis and Its Applications --
Stationarity --
Correlation and Autocorrelation Function --
White Noise and Linear Time Series --
Simple Autoregressive Models --
Simple Moving-Average Models --
Simple ARMA Models --
Unit-Root Nonstationarity --
Seasonal Models --
Regression Models with Time Series Errors --
Long-Memory Models --
Some SCA Commands --
Conditional Heteroscedastic Models --
Characteristics of Volatility --
Structure of a Model --
The ARCH Model --
The GARCH Model --
The Integrated GARCH Model --
The GARCH-M Model --
The Exponential GARCH Model --
The CHARMA Model --
Random Coefficient Autoregressive Models --
The Stochastic Volatility Model --
The Long-Memory Stochastic Volatility Model --
An Alternative Approach --
Application --
Kurtosis of GARCH Models --
Some RATS Programs for Estimating Volatility Models --
Nonlinear Models and Their Applications --
Nonlinear Models --
Nonlinearity Tests --
Modeling --
Forecasting --
Application --
Some RATS Programs for Nonlinear Volatility Models --
S-Plus Commands for Neural Network --
High-Frequency Data Analysis and Market Microstructure --
Nonsynchronous Trading --
Bid-Ask Spread --
Empirical Characteristics of Transactions Data --
Models for Price Changes --
Duration Models --
Nonlinear Duration Models --
Bivariate Models for Price Change and Duration --
Review of Some Probability Distributions --
Hazard Function.
Series Title: Wiley series in probability and statistics.
Responsibility: Ruey S. Tsay.
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Abstract:

Introducing the theory and applications of time series methods, this book emphasizes on statistical content and applications. It provides professionals with methods for applying time series analysis  Read more...

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"...in my view, this is the number one reference for a course on financial econometrics..." (Statistical Papers, Vol.45, No.4, October 2004) "...covers classical and new topics of financial Read more...

 
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