ISBN 13 : 978-0-470-41435-4

Contents : Preface.
Preface to the Second Edition.
Preface to the 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, Quantiles, 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

Language : English

Series : PROBABILITY AND STATISTICS

Print : 3ème

Place of publishing : TORONTO

Location : Nice Library

Material : Paper

Statement : Présent

Owner : Bibliothèque