Analysis of financial time series /
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Hoboken, N.J. :
Wiley,
c2010.
|
| Edition: | 3rd ed. |
| 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.