Analysis of financial time series - Tsay, Ruey S. 1951- (Hoboken, New Jersey John Wiley & Sons, Inc., 2010)
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.
Includes bibliographical references and index.
Also available in computer file accessible online (IP based)
Keywords: Time-series analysis; Econometrics; Risk management