Title: Analysis of financial time series
Description: Provides statistical tools and techniques needed to understand today's financial markets   The Second Edition of this critically acclaimed text provides a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This latest edition continues to emphasize empirical financial data and focuses on real-world examples. Following this approach, readers will master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.   The author begins with the basic characteristics of financial time series data, setting the foundation for the three main topics:    Analysis and application of univariate financial time series  Return series of multiple assets  Bayesian inference in finance methods     This new edition is a thoroughly revised and updated text, including the addition of S-Plus® commands and illustrations. Exercises have been thoroughly updated and expanded and include the most current data, providing readers with more opportunities to put the models and methods into practice. Among the new material added to the text, readers will find:    Consistent covariance estimation under heteroscedasticity and serial correlation  Alternative approaches to volatility modeling  Financial factor models  State-space models  Kalman filtering  Estimation of stochastic diffusion models     The tools provided in this text aid readers in developing a deeper understanding of financial markets through firsthand experience in working with financial data. This is an ideal textbook for MBA students as well as a reference for researchers and professionals in business and finance.
Subjects: Risk management, Time-series analysis, Econometrics, Business, Finance, Nonfiction, Ökonometrisches Modell, Modèle économétrique, Finances, Valeur à risque, Risikomanagement, Économétrie, Kreditmarkt, Tijdreeksen, Finanzwirtschaft, Ökonometrie, Gestion du risque, Série chronologique, Financiële gegevens, Zeitreihenanalyse, Kapitalmarkt