| Description |
xii, 448 pages : illustrations ; 25 cm |
| Series |
Wiley series in probability and statistics. Financial engineering section |
|
Wiley series in probability and statistics |
|
Wiley series in probability and statistics. Financial engineering section.
|
|
Wiley series in probability and statistics.
|
| Contents |
1. Financial Time Series and Their Characteristics -- 2. Linear Time Series Analysis and Its Applications -- 3. Conditional Heteroscedastic Models -- 4. Nonlinear Models and Their Applications -- 5. High-Frequency Data Analysis and Market Microstructure -- 6. Continuous-Time Models and Their Applications -- 7. Extreme Values, Quantile Estimation, and Value at Risk -- 8. Multivariate Time Series Analysis and Its Applications -- 9. Multivariate Volatility Models and Their Applications -- 10. Markov Chain Monte Carlo Methods with Applications |
| Summary |
Introducing the theory and applications of time series methods, this book emphasizes on statistical content and applications. It provides professionals with methods for applying time series analysis to their work, along with real-life examples from financial markets |
| Notes |
"A Wiley-Interscience publication." |
| Bibliography |
Includes bibliographical references and index |
| Subject |
Time-series analysis.
|
|
Econometrics.
|
|
Risk management.
|
| LC no. |
2001026944 |
| ISBN |
0471415448 alkaline paper |
|
