Tsay, Ruey S.
Analysis of financial time series - 3a ed. - New Jersey John Wiley 2010 - 677 p.
Contiene: 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, quantiles, and value at risk.- 8. multivariate time series analysis and its applications.- 9. Principal componetanalysis and factor models.- 10. Mulltivariate volatility models and their applications.- 11. State space models and kalman filter.- 12. Markov chain monte carlo methods with applications.
978-0-470-41435-4
Econometría
Gestión de riesgo Serie de tiempo
HA/30.3/T73/2010
Analysis of financial time series - 3a ed. - New Jersey John Wiley 2010 - 677 p.
Contiene: 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, quantiles, and value at risk.- 8. multivariate time series analysis and its applications.- 9. Principal componetanalysis and factor models.- 10. Mulltivariate volatility models and their applications.- 11. State space models and kalman filter.- 12. Markov chain monte carlo methods with applications.
978-0-470-41435-4
Econometría
Gestión de riesgo Serie de tiempo
HA/30.3/T73/2010