ISBN 13 : 978-0-471-69074-0

Sommaire : Contents

Preface.
Preface to First Edition.
1. Financial Time Series and Their Characteristics
2. Linear Time Series Analysis and Its Applications
3. Conditional Heteroscedastic Models
4. Nonlinear Models and Their Applications
5. High-Frequency Data Analysis and Market Microstructure
6. Continuous-Time Models and Their Applications
7. Extreme Values, Quantile Estimation, and Value at Risk
8. Multivariate Time Series Analysis and Its Applications
9. Principal Component Analysis and Factor Models
10. Multivariate Volatility Models and Their Applications
11. State-Space Models and Kalman Filter
12. Markov Chain Monte Carlo Methods with Applications
Index

Index.

Langue : Anglais

Collection : PROBABILITY AND STATISTICS

Edition : 2ème

Localisation : Bibliothèque Campus de Nice

Support : Papier

Etat : Présent

Propriétaire : Bibliothèque