Analysis of Financial Time Series - ISBN:9780471690740

Analysis of Financial Time Series

Date: 28 April 2011, 06:22

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Growing out of an MBA course in analysis of financial time series taught by Tsay (econometrics and statistics, U. of Chicago), this text has been updated to reflect developments in high-frequency finance, stochastic volatility, and software availability. The original material—covering Markov chain Monte Carlo methods, derivative pricing using jump diffusion with closed-form formulas, value at risk calculation using extreme value theory base on a nonhomogeneous two-dimensional Poisson process, and multivariate volatility models with time-varying correlations—has been expanded to include discussion consistent covariance estimation under heteroscedasticity and serial correlation, alterative approaches to volatility modeling, financial factor models, stat-space models, Kalman filtering, and estimation of stochastic diffusion models. The material has also been revised to include S-Plus (the statistical analysis software) commands and demonstrations. Annotation ©2005 Book News, Inc., Portland, OR

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