rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Analysis of financial time series
  name:
    name part: Tsay, Ruey S.
    name part: 1951-
    role:
      role term: creator
  type of resource: text
  genre: bibliography
  genre: Electronic books.
  origin info:
    place:
      place term: nju
    date issued: 2010
    edition: 3rd ed.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: remote
    extent: 1 online resource (xxiii, 677 pages) : illustrations
  abstract: 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.
  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.
  note: Ruey S. Tsay.
  note: Electronic resource.
  note: Includes bibliographical references and index.
  subject:
    topic: Econometrics
  subject:
    topic: Risk management
  subject:
    topic: Time-series analysis
  subject:
    topic: BUSINESS & ECONOMICS
    topic: Finance
  classification: HA30.3 T76 2010eb
  classification: 332.01/51955
  related item:
    title info:
      title: Analysis of financial time series
    name:
      name part: Tsay, Ruey S., 1951-
    origin info:
      publisher: Hoboken, N.J. : Wiley, c2010
      edition: 3rd ed.
    identifier: (DLC) 2010005151
    identifier: (OCoLC)505018225
  related item:
    title info:
      title: Wiley Online Library
  related item:
    title info:
      title: Wiley series in probability and statistics
  identifier: 0470644559 (electronic bk.)
  identifier: 0470644567
  identifier: 6612707836 (electronic bk.)
  identifier: 9780470644553 (electronic bk.)
  identifier: 9780470644560
  identifier: 9786612707834 (electronic bk.)
  identifier: 0470414359 (cloth)
  identifier: 9780470414354 (cloth)
  identifier: 270783 MIL
  identifier: http://proxy.library.tamu.edu/login
  record info:
    record content source: N$T
    record creation date: 101130
    record change date: 20210727155440.0
    record identifier: in00002648591
    language of cataloging:
      language term: eng