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01340nam a2200241 a 4500 |
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558873 |
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20171111230023.0 |
| 008 |
100205s2010 njua b 001 0 eng |
| 020 |
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|a 9780470414354 (hbk.)
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| 040 |
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|a DLC
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| 050 |
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|a HA30.3
|b T76 2010
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| 082 |
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|2 22
|a 332.01/51955
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| 100 |
1 |
|
|a Tsay, Ruey S.,
|d 1951-
|
| 245 |
1 |
|
|a Analysis of financial time series /
|c Ruey S. Tsay.
|
| 250 |
1 |
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|a 3rd ed.
|
| 260 |
1 |
|
|a Hoboken, N.J. :
|b Wiley,
|c c2010.
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| 300 |
1 |
|
|a xxiii, 677 p. :
|b ill. ;
|c 25 cm.
|
| 504 |
1 |
|
|a Includes bibliographical references and index.
|
| 505 |
1 |
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|a 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.
|
| 650 |
1 |
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|a Time-series analysis
|
| 650 |
1 |
|
|a Econometrics
|
| 650 |
1 |
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|a Risk management
|
| 952 |
|
|
|a GrThPMO
|b 59b01b246c5ad17d7e5aefe9
|c 952a
|d 9528
|e HA30.3.T76 2010
|t 7
|x m
|z Books
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