by Ruey Tsay
Wiley-Interscience, 2nd Edition, 2005
List Price $120.00, Estima's Price $95.00
Tsay’s book is based upon an MBA course taught by the author at the University of Chicago. It covers a wide range of topics, from basic Box-Jenkins modeling, through arch and its relatives, duration models, continuous time models, value at risk (VaR) calculations, and multivariate time series and volatility analysis. It includes RATS programs for ARCH, non-linear volatility models and duration models. (SCA is used for the basic time series methods.)
Contents
- 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, Quantile Estimation, and Value at Risk
- Multivariate Time Series Analysis and Its Applications
- Multivariate Volatility Models and Their Applications
- Markov Chain Monte Carlo Methods with Applications
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