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Analysis of Financial Time Series (Wiley…
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Analysis of Financial Time Series (Wiley Series in Probability and Statistics) (udgave 2010)

af Ruey S. Tsay

MedlemmerAnmeldelserPopularitetGennemsnitlig vurderingSamtaler
1051257,477 (4.33)Ingen
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 Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. 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.… (mere)
Medlem:mslate10
Titel:Analysis of Financial Time Series (Wiley Series in Probability and Statistics)
Forfattere:Ruey S. Tsay
Info:Wiley (2010), Edition: 3, Hardcover, 677 pages
Samlinger:Dit bibliotek, Læser for øjeblikket
Vurdering:
Nøgleord:economics, finance, math

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Analysis of Financial Time Series af Ruey S. Tsay

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http://cran.r-project.org/web/packages/FinTS/index.html

FinTS: Companion to Tsay (2005) Analysis of Financial Time Series

R companion to Tsay (2005) Analysis of Financial Time Series, 2nd ed. (Wiley). Includes data sets, functions and script files required to work some of the examples. Version 0.3-x includes R objects for all data files used in the text and script files to recreate most of the analyses in chapters 1-3 and 9 plus parts of chapters 4 and 11. ( )
  knol | Dec 26, 2008 |
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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 Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets. 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.

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