000			nam a22 4500
999			_c33131 _d33131
008			240404b xxu||||| |||| 00| 0 eng d
020			_a9780470414354 _chbk.
082			_a332.0151955 _bTSA
100			_aTsay, Ruey S.
245			_aAnalysis of financial time series
250			_a3rd ed.
260			_bJohn Wiley and Sons, _c2010 _aHoboken :
300			_axxiii, 677p. ; _bill., tables _c24 cm.
365			_b160.95 _c$ _d86.30
490			_aWiley series in probability and statistics.
504			_aIncludes bibliographical references and index.
520			_aThis 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			_aCointegration
650			_aCovariance matrix
650			_aExtreme value theory
650			_aDaily log returns
650			_aFitted model
650			_aGARCH model
650			_aGibbs sampling
650			_aKalman filter
650			_alikelihood function
650			_aWiener process
650			_aLinear regression
650			_aLjung-Box Test
650			_aPosterior distribution
650			_aSerial correlations
650			_aStochastic volatility
650			_aWiener process
942			_2ddc _cBK