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Analysis of Financial Time Series

By: Language: English Series: Wiley Series in Probability and Statistics | Balding, David J. (Ed.) | Cressie, Noel A.C. (Ed.) | Fisher, Nicholas I. (Ed.) | et alPublication details: Hoboken, New Jersey : John Wiley and Sons, Inc., Wiley-Interscience 2005Edition: 2. EdDescription: xxi, 605 ppISBN:
  • 0-471-69074-0
  • 978-0-471-69074-0
Subject(s): DDC classification:
  • 332 Financial economics
Online resources:
Contents:
from the Table of Contents: Preface; Financial Time Series and Their Characteristics; Linear Time Series Analysis and Its Applications; Conditional Heteroscedastic Models; Nonlinear Models and Their Applications; High-Frequency Data Analysis and Market Microstructure; Continuous-Time Models and Their Applications; Extreme Values, Quantile Estimation, and Value at Risk; Multivariate Time Series Analysis and Its Applications; Principal Component Analysis and Factor Models; Multivariate Volatility Models and Their Applications; State-Space Models and Kalman Filter; Markov Chain Monte Carlo Methods with Applications;
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Loanable Institute for Advanced Studies (IHS) Book 18728-A Available IHS102716602

from the Table of Contents: Preface; Financial Time Series and Their Characteristics; Linear Time Series Analysis and Its Applications; Conditional Heteroscedastic Models; Nonlinear Models and Their Applications; High-Frequency Data Analysis and Market Microstructure; Continuous-Time Models and Their Applications; Extreme Values, Quantile Estimation, and Value at Risk; Multivariate Time Series Analysis and Its Applications; Principal Component Analysis and Factor Models; Multivariate Volatility Models and Their Applications; State-Space Models and Kalman Filter; Markov Chain Monte Carlo Methods with Applications;

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