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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  

Binding Type: Hardcover - See All Available Formats & Editions
Published: August 2010
Qty:
Temporarily out of stock - Will ship within 2 to 5 weeks
Additional Information
BISAC Categories:
- Business & Economics | Econometrics
- Business & Economics | Finance - General
Dewey: 332.015
LCCN: 2010005151
Physical Information: 1.61" H x 6.38" W x 9.23" L (2.46 lbs) 720 pages
Features: Illustrated, Index, Table of Contents
 
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:

  • 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.

 
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