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Analysis of financial time series

By: Tsay, Ruey SMaterial type: TextTextOriginal language: Spanish Publisher: New Jersey ; John Wiley ; 2010Edition: 3a edDescription: 677 pISBN: 978-0-470-41435-4Subject(s): Econometría | Gestión de riesgo | Serie de tiempoLOC classification: HA/30.3/T73/2010
Contents:
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.
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Libros Libros Biblioteca de la Superintendencia del Mercado de Valores - SMV
HA/30.3/T73/2010 (Browse shelf) Available 00000861

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.

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