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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 seriesThe return series of multiple assetsBayesian inference in finance methods Key f
Mathematical statistics --- Time-series analysis --- Econometrics --- Risk management --- Time-series analysis. --- Econometrics. --- Risk management. --- AA / International- internationaal --- 305.91 --- 304.0 --- 305.970 --- 519.2 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Probability. Mathematical statistics --- 519.2 Probability. Mathematical statistics --- -Econometrics --- -Risk management --- -332.0151955 --- Insurance --- Management --- Economics, Mathematical --- Statistics --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Probabilities --- Electronic information resources --- E-books --- Statistics - General --- Social Sciences --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Analyse des données --- Analyse des données
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Artificial intelligence. Robotics. Simulation. Graphics --- Financial management --- Mathematical statistics --- Quantitative methods (economics) --- Finance --- Time-series analysis --- Econometrics --- R (Computer program language) --- Econometric models --- AA / International- internationaal --- 305.91 --- 305.970 --- 304.0 --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles. --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots. --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Probabilities --- GNU-S (Computer program language) --- Domain-specific programming languages --- Economics, Mathematical --- Statistics --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Algemeenheden: Autoregression and moving average representation. ARIMA. ARMAX. Lagrange multiplier. Wald. Function (mis) specification. Autocorrelation. Homoscedasticity. Heteroscedasticity. ARCH. GARCH. Integration and co-integration. Unit roots --- Finance - Econometric models
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"Since the publication of his first book, Analysis of Financial Time Series, Ruey Tsay has become one of the most influential and prominent experts on the topic of time series. Different from the traditional and oftentimes complex approach to multivariate (MV) time series, this sequel book emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension. Through a fundamental balance between theory and applications, the book supplies readers with an accessible approach to financial econometric models and their applications to real-world empirical research. The book utilizes the freely available R software package to explore complex data and illustrate related computation and analyses in a user-friendly way. An author-maintained website features additional data sets in R, Matlab and Stata scripts so readers can create their own simulations and test their comprehension of the presented techniques"--
Mathematical statistics --- Time-series analysis --- R (Computer program language) --- Econometric models --- AA / International- internationaal --- 304.0 --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen. --- Time series analysis. --- Econometric models. --- Série chronologique --- R (Langage de programmation) --- Modèles économétriques --- Programming --- Analysis of time series --- GNU-S (Computer program language) --- Zuivere statistische analyse (algemene naslagwerken). Tijdreeksen --- Autocorrelation (Statistics) --- Harmonic analysis --- Probabilities --- Domain-specific programming languages --- Econometrics --- Mathematical models
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[3rd ed.] 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.
Mathematical statistics --- Time-series analysis --- Econometrics --- Risk management --- Série chronologique --- Econométrie --- Gestion du risque --- 519.2 --- 330.115 --- 519.246 --- econometrie --- forecasting --- markov-processen --- regressie-analyse --- risk management --- stochastische modellen --- tijdreeksanalyse --- 332.015195 --- Insurance --- Management --- Economics, Mathematical --- Statistics --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Probabilities --- Wiskundige statistiek --- Econometrie --- Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- 519.246 Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression --- 330.115 Econometrie --- Série chronologique --- Econométrie
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Time-series analysis --- 519.55 --- Analysis of time series --- Autocorrelation (Statistics) --- Harmonic analysis --- Mathematical statistics --- Probabilities
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