Analysis of financial time series / Ruey S Tsay.
Material type: TextLanguage: English Publication details: New Delhi : John Wiley & Sons Inc, 2018.Edition: 3rd edDescription: xv, p77. : ill. ; 23 cmISBN:- 9788126548934
- Analysis of financial time series
- 23 332.0151955 TSA
Item type | Current library | Collection | Call number | Status | Date due | Barcode |
---|---|---|---|---|---|---|
Text Books | CUTN Central Library Social Sciences | Non-fiction | 332.0151955 TSA (Browse shelf(Opens below)) | Available | 47733 |
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332.015 LIM Financial valuation and econometrics / | 332.015 WAN Financial econometrics | 332.0151 CHA Financial mathematics for actuaries / | 332.0151955 TSA Analysis of financial time series / | 332.024 SHE Financial Capability and Asset Building in Vulnerable Households : | 332.024014 BAR Retirement savings policy : | 332.028 SCH AI & quantum computing for finance & insurance : |
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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