TY  - BOOK
AU  - Tsay, Ruey S.
TI  - Analysis of financial time series
SN  - 978-0-470-41435-4
AV  - HA/30.3/T73/2010 
CY  - New Jersey
KW  - Econometría
KW  - Gestión de riesgo
KW  - Serie de tiempo
N1  - 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
ER  -