| Analysis of Financial Time Series Contributor(s): Tsay, Ruey S. (Author) |
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ISBN: 0470414359 ISBN-13: 9780470414354 Publisher: Wiley OUR PRICE: $152.90 Product Type: Hardcover - Other Formats Published: August 2010 |
| Additional Information |
| BISAC Categories: - Business & Economics | Econometrics - Business & Economics | Finance - General |
| Dewey: 332.015 |
| LCCN: 2010005151 |
| Series: Wiley Series in Probability and Statistics |
| Physical Information: 1.61" H x 6.38" W x 9.23" (2.46 lbs) 720 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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:
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. |