Tsay, Ruey S. <br/><br/>
Analysis of financial time series 

 - 3a ed. 
 - New Jersey  John Wiley  2010 
 - 677 p. 
<br/><br/>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. 
<br/><br/><label>ISBN: </label>978-0-470-41435-4 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Econometría
<br/><br/><label>Subjects--Index Terms: </label>Gestión de riesgo Serie de tiempo 
<br/><br/><label>LC Class. No.: </label>HA/30.3/T73/2010