Analysis of financial time series/
| Main Author: | |
|---|---|
| Corporate Author: | |
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, N.J.:
Wiley,
c2010
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| Edition: | 3rd ed. |
| Series: | Wiley series in probability and statistics
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| Subjects: |
Table of Contents:
- Financial time series and their characteristics
- Linear time series analysis and its applications
- Conditional heteroscedastic models
- Nonlinear models and their applications
- High-frequency data analysis and market microstructure
- Continuous-time models and their applications
- Extreme values, quantiles, and value at risk
- Multivariate time series analysis and its applications
- Principal component analysis and factor models
- Multivariate volatility models and their applications
- State-space models and Kalman filter
- Markov chain Monte Carlo methods with applications