Mega Dose
 
 

Recently Viewed clear list


Interviews | September 2, 2014

Jill Owens: IMG David Mitchell: The Powells.com Interview



David MitchellDavid Mitchell's newest mind-bending, time-skipping novel may be his most accomplished work yet. Written in six sections, one per decade, The Bone... Continue »
  1. $21.00 Sale Hardcover add to wish list

    The Bone Clocks

    David Mitchell 9781400065677

spacer

This item may be
out of stock.

Click on the button below to search for this title in other formats.


Check for Availability
Add to Wishlist

Other titles in the Wiley Series in Probability and Statistics series:

Analysis of Financial Time Series

Analysis of Financial Time Series Cover

 

Synopses & Reviews

Publisher Comments:

Provides statistical tools and techniques needed to understand today's financial markets

The Second Edition of this critically acclaimed text provides a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This latest edition continues to emphasize empirical financial data and focuses on real-world examples. Following this approach, readers will master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.

The author begins with the basic characteristics of financial time series data, setting the foundation for the three main topics:

  • Analysis and application of univariate financial time series
  • Return series of multiple assets
  • Bayesian inference in finance methods

This new edition is a thoroughly revised and updated text, including the addition of S-Plus® commands and illustrations. Exercises have been thoroughly updated and expanded and include the most current data, providing readers with more opportunities to put the models and methods into practice. Among the new material added to the text, readers will find:

  • Consistent covariance estimation under heteroscedasticity and serial correlation
  • Alternative approaches to volatility modeling
  • Financial factor models
  • State-space models
  • Kalman filtering
  • Estimation of stochastic diffusion models

The tools provided in this text aid readers in developing a deeper understanding of financial markets through firsthand experience in working with financial data. This is an ideal textbook for MBA students as well as a reference for researchers and professionals in business and finance.

Book News Annotation:

Growing out of an MBA course in analysis of financial time series taught by Tsay (econometrics and statistics, U. of Chicago), this text has been updated to reflect developments in high-frequency finance, stochastic volatility, and software availability. The original material—covering Markov chain Monte Carlo methods, derivative pricing using jump diffusion with closed-form formulas, value at risk calculation using extreme value theory base on a nonhomogeneous two-dimensional Poisson process, and multivariate volatility models with time-varying correlations—has been expanded to include discussion consistent covariance estimation under heteroscedasticity and serial correlation, alterative approaches to volatility modeling, financial factor models, stat-space models, Kalman filtering, and estimation of stochastic diffusion models. The material has also been revised to include S-Plus (the statistical analysis software) commands and demonstrations.
Annotation 2005 Book News, Inc., Portland, OR (booknews.com)

Synopsis:

Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book.

Youll find a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This edition continues to emphasize empirical financial data and focuses on real-world examples. Youll master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.

This is an ideal textbook for MBA students and a key reference for researchers and professionals in business and finance. Order your copy today.

Synopsis:

Analysis of Financial Time Series, Second Edition provides a comprehensive 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; and Bayesian inference in finance methods.

About the Author

RUEY S. TSAY, PHD, is H. G. B. Alexander Professor of Econometrics and Statistics, Graduate School of Business, University of Chicago. Dr. Tsay is a Fellow of the American Statistical Association and the Institute of Mathematical Statistics.

Table of Contents

Preface.

Preface to First Edition.

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, Quantile Estimation, 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.

Index.

Product Details

ISBN:
9780471690740
Publisher:
Wiley-Interscience
Subject:
Finance
Author:
Tsay, Ruey S.
Subject:
Econometrics
Subject:
Risk management
Subject:
Statistics for Finance, Business & Economics
Copyright:
Edition Number:
2
Edition Description:
WOL online Book (not BRO)
Series:
Wiley Series in Probability and Statistics
Series Volume:
543
Publication Date:
20070720
Binding:
Online electronic file accessible through online networks
Grade Level:
Professional and scholarly
Language:
English
Illustrations:
Y
Pages:
640
Dimensions:
9.58x6.14x1.33 in. 2.21 lbs.

Related Subjects

Business » Accounting and Finance

Analysis of Financial Time Series
0 stars - 0 reviews
$ In Stock
Product details 640 pages Wiley-Interscience - English 9780471690740 Reviews:
"Synopsis" by , Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book.

Youll find a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This edition continues to emphasize empirical financial data and focuses on real-world examples. Youll master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.

This is an ideal textbook for MBA students and a key reference for researchers and professionals in business and finance. Order your copy today.

"Synopsis" by , Analysis of Financial Time Series, Second Edition provides a comprehensive 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; and Bayesian inference in finance methods.
spacer
spacer
  • back to top
Follow us on...




Powell's City of Books is an independent bookstore in Portland, Oregon, that fills a whole city block with more than a million new, used, and out of print books. Shop those shelves — plus literally millions more books, DVDs, and gifts — here at Powells.com.