Analysis of financial time series
- ISBN: 9780471690740
- Editorial: John Wiley & Sons Limited
- Fecha de la edición: 2005
- Lugar de la edición: New York. Estados Unidos de Norteamérica
- Edición número: 2nd ed
- Colección: Wiley series in probability and statistics
- Encuadernación: Cartoné
- Medidas: 24 cm
- Nº Pág.: 605
- Idiomas: Inglés
Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book. You'll find a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This edition continues to emphasize empirical financial data and focuses on real world examples. You'll master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high frequency financial data, continuous time models and Itos Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation intensive methods. This is an ideal textbook for MBA students and a key reference for researchers and professionals in business and finance.
