Download e-book for iPad: Analysis of Financial Time Series (Wiley Series in by Ruey S. Tsay

By Ruey S. Tsay

ISBN-10: 0471690740

ISBN-13: 9780471690740

offers statistical instruments and methods had to comprehend contemporary monetary markets

the second one version of this seriously acclaimed textual content presents a accomplished and systematic creation to monetary econometric types and their functions in modeling and predicting monetary time sequence info. This newest variation maintains to stress empirical monetary information and makes a speciality of real-world examples. Following this strategy, readers will grasp key points of monetary time sequence, together with volatility modeling, neural community purposes, marketplace microstructure and high-frequency monetary information, continuous-time types and Ito's Lemma, worth in danger, a number of returns research, monetary issue versions, and econometric modeling through computation-intensive equipment.

the writer starts off with the fundamental features of monetary time sequence facts, surroundings the basis for the 3 major issues:

  • Analysis and alertness of univariate monetary time sequence
  • Return sequence of a number of resources
  • Bayesian inference in finance tools

This new version is a completely revised and up to date textual content, together with the addition of S-Plus® instructions and illustrations. workouts were completely up to date and accelerated and contain the most up-tp-date info, supplying readers with extra possibilities to place the types and techniques into perform. one of the new fabric further to the textual content, readers will locate:

  • Consistent covariance estimation lower than heteroscedasticity and serial correlation
  • Alternative ways to volatility modeling
  • Financial issue types
  • State-space types
  • Kalman filtering
  • Estimation of stochastic diffusion versions

The instruments supplied during this textual content relief readers in constructing a deeper knowing of economic markets via firsthand event in operating with monetary information. this can be an incredible textbook for MBA scholars in addition to a reference for researchers and execs in enterprise and finance.

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Analysis of Financial Time Series (Wiley Series in Probability and Statistics) by Ruey S. Tsay

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