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ANALYSIS OF FINANCIAL TIME SERIES

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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 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.

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Availability

10008078

332.0151 TSA a 2nd

RLC MM (Rak Buku Wajib)

Available

Detail Information

Series Title

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Statement of Responsibility

Ruey S. Tsay

Call Number

332.0151 TSA a 2nd

Publisher

New Jersey : John Wiley & Sons., 2005

Collation

xxi, 605 p. : ill. ; 25 cm.

Language

English

ISBN/ISSN

0-471-69074-0

Classification

332.0151

Content Type

-

Edition

2nd. ed.

Subject(s)

Buku Wajib
Risk Management
Time-Series Analysis
Econometrics

Specific Detail Info

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Other version/related

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