By Ruey S. Tsay
Presents statistical instruments and methods had to comprehend modern day monetary markets the second one variation of this severely acclaimed textual content presents a accomplished and systematic creation to monetary econometric types and their functions in modeling and predicting monetary time sequence facts. This most up-to-date version maintains to stress empirical monetary facts and specializes in real-world examples. Following this strategy, readers will grasp key facets of monetary time sequence, together with volatility modeling, neural community functions, marketplace microstructure and high-frequency monetary info, continuous-time types and Ito's Lemma, worth in danger, a number of returns research, monetary issue versions, and econometric modeling through computation-intensive tools. the writer starts off with the fundamental features of economic time sequence facts, surroundings the root for the 3 major subject matters: research and alertness of univariate monetary time sequence go back sequence of a number of resources Bayesian inference in finance equipment This re-creation is a completely revised and up-to-date textual content, together with the addition of S-Plus® instructions and illustrations. workouts were completely up-to-date and multiplied and contain the most up-tp-date information, supplying readers with extra possibilities to place the versions and strategies into perform. one of the new fabric additional to the textual content, readers will locate: constant covariance estimation less than heteroscedasticity and serial correlation substitute ways to volatility modeling monetary issue types State-space types Kalman filtering Estimation of stochastic diffusion types The instruments supplied during this textual content reduction readers in constructing a deeper figuring out of economic markets via firsthand event in operating with monetary info. this can be a terrific textbook for MBA scholars in addition to a reference for researchers and execs in company and finance.
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Extra resources for Analysis of Financial Time Series (Wiley Series in Probability and Statistics)2nd edition
1951– Analysis of financial time series/Ruey S. —2nd ed. p. cm. " Includes bibliographical references and index. ISBN-13 978-0-471-69074-0 ISBN-10 0-471-69074-0 (cloth) 1. Time-series analysis. 2. Econometrics. 3. Risk management. I. Title. 01′51955—dc22 2005047030 Printed in the United States of America. 10 9 8 7 6 5 4 3 2 1 Page v To my parents and Teresa Page vi This page intentionally left blank Page vii Contents Preface xvii Preface to First Edition xix 1. 3 Processes Considered, 20 Exercises, 22 References, 23 2.
1 Review of Statistical Distributions and Their Moments We briefly review some basic properties of statistical distributions and the moment equations of a random variable. Let Rk be the k-dimensional Euclidean space. A point in Rk is denoted by x ∈ Rk. Consider two random vectors X = (X1,…,Xk)′ and Y = (Y1,…,Yq)′. Let P(X ∈ A, Y ∈ B) be the probability that X is in the subspace A ⊂ Rk and Y is in the subspace B ⊂ Rq. For most of the cases considered in this book, both random vectors are assumed to be continuous.
Cressie, Nicholas I. Fisher, Iain M. Johnstone, J. B. Kadane, Geert Molenberghs, Louise M. Ryan, David W. Scott, Adrian F. M. Smith, Jozef L. Teugels Editors Emeriti: Vic Barnett, J. Stuart Hunter, David G. Kendall A complete list of the titles in this series appears at the end of this volume. Page iii Analysis of Financial Time Series Second Edition RUEY S. TSAY University of Chicago Graduate School of Business Page iv Copyright © 2005 by John Wiley Sons, Inc. All rights reserved. , Hoboken, New Jersey.