Analysis of Financial Time Series

ISBN: 9780470414354 出版年：2010 页码：713 Ruey S Tsay Wiley

Preface. Preface to First Edition. 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. Principal Component Analysis and Factor Models. 10. Multivariate Volatility Models and Their Applications. 11. State-Space Models and Kalman Filter. 12. Markov Chain Monte Carlo Methods with Applications. Index.