Analysis of Financial Time Series, 3rd Ed.

by Ruey Tsay

Wiley-Interscience, 3rd Edition, 2010

List Price $120.00, Estima's Price $95.00

Tsay's book is based upon an MBA course taught by the author at the University of Chicago. It covers a wide range of topics, from basic Box-Jenkins modeling, through arch and its relatives, duration models, continuous time models, value at risk (VaR) calculations, and multivariate time series and volatility analysis.

RATS examples from Analysis of Financial Time Series

Contents

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, Quantile Estimation, and Value at Risk
8. Multivariate Time Series Analysis and Its Applications
9. Multivariate Volatility Models and Their Applications
10. Markov Chain Monte Carlo Methods with Applications