 Analysis of Financial Time Series, 2nd Edition
ISBN: 978-0-471-69074-0
Hardcover
640 pages
August 2005
US $127.50
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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.
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