Analysis of Financial Time Series, 3/e (Hardcover)

Ruey S. Tsay

Analysis of Financial Time Series, 3/e (Hardcover)
  • 出版商: Wiley
  • 出版日期: 2010-08-30
  • 定價: $2,150
  • 售價: 9.8 折 $2,107
  • 語言: 英文
  • 頁數: 720
  • 裝訂: Hardcover
  • ISBN: 0470414359
  • ISBN-13: 9780470414354

    • 立即出貨 (庫存=1)

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相關主題

商品描述

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.

商品描述(中文翻譯)

本書提供了對當前金融計量模型及其應用於金融時間序列數據建模和預測的廣泛、成熟和系統的介紹。書中使用真實世界的例子和真實的金融數據來應用所描述的模型和方法。

作者首先介紹了金融時間序列數據的基本特徵，然後涵蓋了三個主要主題：
- 單變量金融時間序列的分析和應用
- 多個資產的回報序列
- 貝葉斯推斷在金融方法中的應用

新版的主要特點包括對現代主題的更多涵蓋，如套利、配對交易、實現波動性和信用風險建模；從S-Plus平滑過渡到R；以及擴展的實證金融數據集。

本書的整體目標是提供金融時間序列的一些知識，介紹一些用於分析這些序列的統計工具，並獲得各種計量方法在金融應用中的經驗。

目錄大綱

1 Financial Time Series and Their Characteristics.
 2 Linear time series Analysis and Its Applications.
 3 Conditional Heteroscedastic Models.
 4 Nonlinear Models and Their Applications.
 5 High-Frequency Data Analysis and Market Microstructure.
 6 Continuous-Time Models and Their Applications.
 7 Extreme Values, Quantiles, and Value at Risk.
 8 Multivariate Time Series Analysis and Its Applications.
 9 Principal Component Analysis and Factor Models.
 10 Multivariate Volatility Models and Their Applications.
 11 State-Space Models and Kalman Filter.
 12 Markov Chain Monte Carlo Methods with Applications

目錄大綱(中文翻譯)

1. 金融時間序列及其特性。
2. 線性時間序列分析及其應用。
3. 條件異方差模型。
4. 非線性模型及其應用。
5. 高頻數據分析和市場微觀結構。
6. 連續時間模型及其應用。
7. 極值、分位數和風險值。
8. 多變量時間序列分析及其應用。
9. 主成分分析和因子模型。
10. 多變量波動模型及其應用。
11. 狀態空間模型和卡爾曼濾波器。
12. 馬爾可夫鏈蒙特卡羅方法及其應用。

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