By Ruey S. Tsay
the second one variation of this seriously acclaimed textual content offers a entire and systematic advent to monetary econometric types and their functions in modeling and predicting monetary time sequence facts. This most recent variation keeps to stress empirical monetary info and makes a speciality of real-world examples. Following this method, readers will grasp key features of monetary time sequence, together with volatility modeling, neural community functions, marketplace microstructure and high-frequency monetary information, continuous-time versions and Ito's Lemma, worth in danger, a number of returns research, monetary issue types, and econometric modeling through computation-intensive equipment.
the writer starts with the fundamental features of economic time sequence info, atmosphere the root for the 3 major subject matters:
- Analysis and alertness of univariate monetary time sequence
- Return sequence of a number of resources
- Bayesian inference in finance equipment
This new version is a completely revised and up to date textual content, together with the addition of S-Plus® instructions and illustrations. routines were completely up to date and increased and comprise the most up-tp-date facts, delivering readers with extra possibilities to place the types and strategies into perform. one of the new fabric additional to the textual content, readers will locate:
- Consistent covariance estimation below heteroscedasticity and serial correlation
- Alternative methods to volatility modeling
- Financial issue versions
- State-space versions
- Kalman filtering
- Estimation of stochastic diffusion versions
The instruments supplied during this textual content reduction readers in constructing a deeper realizing of monetary markets via firsthand adventure in operating with monetary information. this can be an excellent textbook for MBA scholars in addition to a reference for researchers and execs in enterprise and finance.
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Extra info for Analysis of Financial Time Series (Wiley Series in Probability and Statistics)
Analysis of Financial Time Series (Wiley Series in Probability and Statistics) by Ruey S. Tsay