TY - BOOK ID - 1541218 TI - Analysis of financial time series PY - 2005 SN - 0471690740 9780471690740 PB - Hoboken: Wiley, DB - UniCat KW - Mathematical statistics KW - Time-series analysis KW - Econometrics KW - Risk management KW - Série chronologique KW - Econométrie KW - Gestion du risque KW - 519.2 KW - 330.115 KW - 519.246 KW - econometrie KW - forecasting KW - markov-processen KW - regressie-analyse KW - risk management KW - stochastische modellen KW - tijdreeksanalyse KW - 332.015195 KW - Insurance KW - Management KW - Economics, Mathematical KW - Statistics KW - Analysis of time series KW - Autocorrelation (Statistics) KW - Harmonic analysis KW - Probabilities KW - Wiskundige statistiek KW - Econometrie KW - Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression KW - 519.246 Statistics of stochastic processes. Estimation of stochastic processes. Hypothesis testing. Statistics of point processes. Time series analysis. Auto-correlation. Regression KW - 330.115 Econometrie KW - Série chronologique KW - Econométrie UR - https://www.unicat.be/uniCat?func=search&query=sysid:1541218 AB - [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. ER -