Analysis of Financial Time Series, 3/e (Hardcover)
暫譯: 金融時間序列分析（第三版）
Ruey S. Tsay
- 出版商: Wiley
- 出版日期: 2010-08-30
- 定價: $2,150
- 售價: 9.8 折 $2,107
- 語言: 英文
- 頁數: 720
- 裝訂: Hardcover
- ISBN: 0470414359
- ISBN-13: 9780470414354
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商品描述
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.
商品描述(中文翻譯)
這本書提供了對當前金融計量經濟模型及其在金融時間序列數據建模和預測中的應用的廣泛、成熟和系統的介紹。全書利用真實世界的例子和真實的金融數據來應用所描述的模型和方法。
作者首先介紹金融時間序列數據的基本特徵，然後涵蓋三個主要主題：
• 單變量金融時間序列的分析和應用
• 多資產的回報序列
• 金融中的貝葉斯推斷方法
新版本的主要特點包括對現代主題的額外涵蓋，例如套利、配對交易、實現波動率和信用風險建模；從 S-Plus 平滑過渡到 R；以及擴展的實證金融數據集。
本書的整體目標是提供一些金融時間序列的知識，介紹一些對分析這些序列有用的統計工具，並獲得各種計量經濟方法在金融應用中的經驗。
目錄大綱
1 Financial Time Series and Their Characteristics.
2 Linear time series Analysis and Its Applications.
3 Conditional Heteroscedastic Models.
4 Nonlinear Models and Their Applications.
5 High-Frequency Data Analysis and Market Microstructure.
6 Continuous-Time Models and Their Applications.
7 Extreme Values, Quantiles, and Value at Risk.
8 Multivariate Time Series Analysis and Its Applications.
9 Principal Component Analysis and Factor Models.
10 Multivariate Volatility Models and Their Applications.
11 State-Space Models and Kalman Filter.
12 Markov Chain Monte Carlo Methods with Applications
目錄大綱(中文翻譯)
1 Financial Time Series and Their Characteristics.
2 Linear time series Analysis and Its Applications.
3 Conditional Heteroscedastic Models.
4 Nonlinear Models and Their Applications.
5 High-Frequency Data Analysis and Market Microstructure.
6 Continuous-Time Models and Their Applications.
7 Extreme Values, Quantiles, and Value at Risk.
8 Multivariate Time Series Analysis and Its Applications.
9 Principal Component Analysis and Factor Models.
10 Multivariate Volatility Models and Their Applications.
11 State-Space Models and Kalman Filter.
12 Markov Chain Monte Carlo Methods with Applications
