Analysis of Financial Time Series (Wiley Series in Probability and Statistics)

Tsay, Ruey S.

ISBN 10: 0470414359 / ISBN 13: 9780470414354

Published by Wiley, 2010

About this Item

BRAND NEW.

Seller Inventory # 9780470414354

Bibliographic Details

• Title: Analysis of Financial Time Series (Wiley Series in Probability and Statistics)
• Publisher: Wiley
• Publication Date: 2010
• Language: English
• ISBN 10: 0470414359
• ISBN 13: 9780470414354
• Binding: Hardcover
• Edition: 3rd Edition
• Condition: New
• Book Type: book

About this title

Synopsis

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.

About the Author

RUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. Dr. Tsay has written over 100 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control, and he is the coauthor of A Course in Time Series Analysis (Wiley). Dr. Tsay is a Fellow of the American Statistical Association, the Institute of Mathematical Statistics, the Royal Statistical Society, and Academia Sinica.