Mendeley出力
＜図書＞
Analysis of financial time series
| 責任表示 | Ruey S. Tsay |
|---|---|
| シリーズ | Wiley series in probability and mathematical statistics |
| データ種別 | 図書 |
| 版 | 2nd ed |
| 出版情報 | Hoboken, N.J. : Wiley-Interscience , c2005 |
| 本文言語 | 英語 |
| 大きさ | xxi, 605 p. : ill. ; 25 cm |
| 概要 | Growing out of an MBA course in analysis of financial time series taught by Tsay (econometrics and statistics, U. of Chicago), this text has been updated to reflect developments in high-frequency fina...ce, stochastic volatility, and software availability. The original material--covering Markov chain Monte Carlo methods, derivative pricing using jump diffusion with closed-form formulas, value at risk calculation using extreme value theory base on a nonhomogeneous two-dimensional Poisson process, and multivariate volatility models with time-varying correlations--has been expanded to include discussion consistent covariance estimation under heteroscedasticity and serial correlation, alterative approaches to volatility modeling, financial factor models, stat-space models, Kalman filtering, and estimation of stochastic diffusion models. The material has also been revised to include S-Plus (the statistical analysis software) commands and demonstrations. Annotation ©2005 Book News, Inc., Portland, OR (booknews.com) 続きを見る |
所蔵情報
| 状態 | 巻次 | 所蔵場所 | 請求記号 | 刷年 | 文庫名称 | 資料番号 | コメント | 予約・取寄 | 複写申込 | 自動書庫 |
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理系図3F 数理独自 | TSAY/10/1a | 2005 |
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023212005006211 |
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書誌詳細
| 一般注記 | Includes bibliographical references and index |
|---|---|
| 著者標目 | *Tsay, Ruey S., 1951- |
| 件 名 | LCSH:Time-series analysis LCSH:Econometrics LCSH:Risk management |
| 分 類 | LCC:HA30.3 DC22:332/.01/51955 |
| 書誌ID | 1001298332 |
| ISBN | 0471690740 |
| NCID | BA73740588 |
| 巻冊次 | ISBN:0471690740 ; XISBN:9780471690740 |
| 登録日 | 2009.09.18 |
| 更新日 | 2009.11.02 |