000			02318nam a22002537a 4500
999			_c102 _d102
005			20190826123548.0
008			190822b ||||| |||| 00| 0 eng d
020			_a9788126548934
082			_a332.0151955 _bTSA
100			_aTsay, Ruey S. _9175
245			_aAnalysis of financial time series
250			_a3rd
260			_bWiley India Pvt. Ltd. _aIndia _c2019
300			_axxiii, 677p.
365			_aINR _b889.00
504			_aTable 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
520			_aThis 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)
650			_aTime-series analysis _9176
650			_aRisk management _9177
650			_aEconometric _9178
650			_aBusiness mathematics _9179
650			_aFinance--Mathematical models _9180
942			_2ddc _cBK