Analysis of financial time series
Material type: TextPublication details: India Wiley India Pvt. Ltd. 2019 Edition: 3rdDescription: xxiii, 677pISBN: 9788126548934Subject(s): Time-series analysis | Risk management | Econometric | Business mathematics | Finance--Mathematical modelsDDC classification: 332.0151955 Summary: 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 and Bayesian inference in finance methods. 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. (https://www.wileyindia.com/analysis-of-financial-time-series-3rd-ed.html)Item type | Current library | Collection | Call number | Copy number | Status | Date due | Barcode |
---|---|---|---|---|---|---|---|
Book | Indian Institute of Management LRC General Stacks | Finance & Accounting | 332.0151955 TSA (Browse shelf(Opens below)) | 1 | Available | 000422 |
Browsing Indian Institute of Management LRC shelves, Shelving location: General Stacks, Collection: Finance & Accounting Close shelf browser (Hides shelf browser)
332.015195 MAR Quantitative finance | 332.015195 MIL Mathematics and statistics for financial risk management | 332.015195 SAD Mathematical techniques in finance: an introduction | 332.0151955 TSA Analysis of financial time series | 332.024 BIL Personal financial planning: with MindTap | 332.024 DEM The millionaire fastlane: | 332.024 KAP Personal finance |
Table of Content
• Preface to the Second Edition
• Preface to the First Edition
• 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, Quantiles 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
• Exercises
• References
• Index
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 and Bayesian inference in finance methods. 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.
(https://www.wileyindia.com/analysis-of-financial-time-series-3rd-ed.html)
There are no comments on this title.