Analysis of Financial Time Series (Wiley Series in Probability and Statistics) Book + PRICE WATCH * Amazon pricing is not included in price watch

Analysis of Financial Time Series (Wiley Series in Probability and Statistics) Book

Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application 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. Timely topics and recent results include: * Value at Risk (VaR) * High-frequency financial data analysis * Markov Chain Monte Carlo (MCMC) methods * Derivative pricing using jump diffusion with closed-form formulas * VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process * Multivariate volatility models with time-varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods.Read More

from£75.85 | RRP: £59.50
* Excludes Voucher Code Discount Also available Used from £22.14
  • 0471415448
  • 9780471415442
  • Ruey S. Tsay
  • 21 December 2001
  • John Wiley & Sons
  • Hardcover (Book)
  • 472
As an Amazon Associate we earn from qualifying purchases. If you click through any of the links below and make a purchase we may earn a small commission (at no extra cost to you). Click here to learn more.

Would you like your name to appear with the review?

We will post your book review within a day or so as long as it meets our guidelines and terms and conditions. All reviews submitted become the licensed property of www.find-book.co.uk as written in our terms and conditions. None of your personal details will be passed on to any other third party.

All form fields are required.