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Analysis of Financial Time Series.

Analysis of Financial Time Series. 3rd ed. 金融時系列の分析　第3版

・ISBN 978-0-470-41435-4 hard US$ 165.95

￥38,881.- (税込) ※（※）価格はご注文時の参考価格となります。
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電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-0-470-64456-0

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著者・編者Tsay, Ruey S.,
シリーズWiley Series in Probability and Statistics
出版社(Wiley, US)
出版年月2010
ページ数712 pp.
言語ENG
ニュース番号＜578-406＞

解説

This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described.

The author begins with basic characteristics of financial time series data before covering three main topics:

  • Analysis and application of univariate financial time series
  • The return series of multiple assets
  • Bayesian inference in finance methods

Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets.

The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.