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About this product
- DescriptionThis book provides a broad, mature, and systematic introduction to current financial ecometric 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 kwledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various ecometric methods.
- Author BiographyRUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. Dr. Tsay has written over 100 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control, and he is the coauthor of A Course in Time Series Analysis (Wiley). Dr. Tsay is a Fellow of the American Statistical Association, the Institute of Mathematical Statistics, the Royal Statistical Society, and Academia Sinica.
- Author(s)Ruey S. Tsay
- PublisherJohn Wiley and Sons Ltd
- Date of Publication10/09/2010
- SubjectFinance & Accounting
- Place of PublicationHoboken
- Country of PublicationUnited States
- Content NoteIllustrations
- Weight1094 g
- Width161 mm
- Height245 mm
- Spine41 mm
- Edition Statement3rd Revised edition
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