Leseprobe
* Affiliatelinks/Werbelinks
Links auf reinlesen.de sind sogenannte Affiliate-Links. Wenn du auf so einen Affiliate-Link klickst und über diesen Link einkaufst, bekommt reinlesen.de von dem betreffenden Online-Shop oder Anbieter eine Provision. Für dich verändert sich der Preis nicht.
Analysis of Financial Time Series
Ruey S. Tsay
* Affiliatelinks/Werbelinks
Links auf reinlesen.de sind sogenannte Affiliate-Links. Wenn du auf so einen Affiliate-Link klickst und über diesen Link einkaufst, bekommt reinlesen.de von dem betreffenden Online-Shop oder Anbieter eine Provision. Für dich verändert sich der Preis nicht.
Naturwissenschaften, Medizin, Informatik, Technik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
Beschreibung
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.
Rezensionen
"Analysis of financial time series, third edition, is an ideal book for introductory courses on time series at the graduate level and a valuable supplement for statistics courses in time series at the upper-undergraduate level."
"Nevertheless, all in all the book can be a very useful reference for students as well as for professionals."
"Factor models, an important technique used in quantitative finance, are given a full treatment with macroeconomic factor models and fundamental factor models. The coverage of the book is comprehensive. It starts from basic time series techniques and finishes with advanced concepts such as state space models and MCMC methods. There is a balance between the theoretical background necessary to appreciate the nuances and the practical aspect of implementation. More importantly it gives insights about what time series models can't address. The book has an excellent supporting website which has all the programs and data sets which helps to internalize the concepts. Finally, teaching professionals should find the solutions manual as a valuable tool to explain concepts and to ensure understanding."
"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."
Kundenbewertungen
Finance & Investments, Zeitreihen, Finanz- u. Anlagewesen, Finanztechnik, Finanz- u. Wirtschaftsstatistik, Statistics for Finance, Business & Economics, Statistik, Finanzwirtschaft, Time Series, Financial Engineering, Statistics, Zeitreihenanalyse