| 000 -LEADER |
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| fixed length control field |
nam a22 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
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| fixed length control field |
240404b xxu||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
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| International Standard Book Number |
9780470414354 |
| Terms of availability |
hbk. |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER |
|---|
| Classification number |
332.0151955 |
| Item number |
TSA |
| 100 ## - MAIN ENTRY--PERSONAL NAME |
|---|
| Personal name |
Tsay, Ruey S. |
| 245 ## - TITLE STATEMENT |
|---|
| Title |
Analysis of financial time series |
| 250 ## - EDITION STATEMENT |
|---|
| Edition statement |
3rd ed. |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) |
|---|
| Name of publisher, distributor, etc |
John Wiley and Sons, |
| Date of publication, distribution, etc |
2010 |
| Place of publication, distribution, etc |
Hoboken : |
| 300 ## - PHYSICAL DESCRIPTION |
|---|
| Extent |
xxiii, 677p. ; |
| Other physical details |
ill., tables |
| Dimensions |
24 cm. |
| 365 ## - TRADE PRICE |
|---|
| Price amount |
160.95 |
| Price type code |
$ |
| Unit of pricing |
86.30 |
| 490 ## - SERIES STATEMENT |
|---|
| Series statement |
Wiley series in probability and statistics. |
| 504 ## - BIBLIOGRAPHY, ETC. NOTE |
|---|
| Bibliography, etc |
Includes bibliographical references and index. |
| 520 ## - SUMMARY, ETC. |
|---|
| Summary, etc |
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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM |
|---|
| Topical term or geographic name as entry element |
Cointegration |
|
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| Topical term or geographic name as entry element |
Covariance matrix |
|
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| Topical term or geographic name as entry element |
Extreme value theory |
|
|---|
| Topical term or geographic name as entry element |
Daily log returns |
|
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| Topical term or geographic name as entry element |
Fitted model |
|
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| Topical term or geographic name as entry element |
GARCH model |
|
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| Topical term or geographic name as entry element |
Gibbs sampling |
|
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| Topical term or geographic name as entry element |
Kalman filter |
|
|---|
| Topical term or geographic name as entry element |
likelihood function |
|
|---|
| Topical term or geographic name as entry element |
Wiener process |
|
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| Topical term or geographic name as entry element |
Linear regression |
|
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| Topical term or geographic name as entry element |
Ljung-Box Test |
|
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| Topical term or geographic name as entry element |
Posterior distribution |
|
|---|
| Topical term or geographic name as entry element |
Serial correlations |
|
|---|
| Topical term or geographic name as entry element |
Stochastic volatility |
|
|---|
| Topical term or geographic name as entry element |
Wiener process |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) |
|---|
| Source of classification or shelving scheme |
|
| Item type |
Books |