Analysis of financial time series, 2d ed.0471690740 Analysis of financial time series, 2d ed. Tsay, Ruey S. Wiley-Interscience 2005 605 pages $99.95 Hardcover Wiley series in probability and statistics See the separate articles on probability or the article on statistics. Statistical analysis depends on the characteristics of particular probability distributions, and the two topics are normally studied together. HA30 Growing out of an MBA MBA abbr. Master of Business Administration Noun 1. MBA - a master's degree in business Master in Business, Master in Business Administration course in analysis of financial time series taught by Tsay (econometrics and statistics, U. of Chicago), this text has been updated to reflect developments in high-frequency finance, stochastic volatility, and software availability. The original material--covering Markov chain Monte Carlo Markov chain Monte Carlo (MCMC) methods (which include random walk Monte Carlo methods), are a class of algorithms for sampling from probability distributions based on constructing a Markov chain that has the desired distribution as its equilibrium distribution. methods, derivative pricing using jump diffusion with closed-form formulas, value at risk calculation using extreme value theory base on a nonhomogeneous two-dimensional Poisson process, and multivariate volatility models with time-varying correlations--has been expanded to include discussion consistent covariance Covariance A measure of the degree to which returns on two risky assets move in tandem. A positive covariance means that asset returns move together. A negative covariance means returns vary inversely. estimation under heteroscedasticity and serial correlation, alterative Alterative A medicinal substance that acts gradually to nourish and improve the system. Mentioned in: Echinacea alterative, n a class of herbs with several different but related functions. approaches to volatility modeling, financial factor models, stat-space models, Kalman filtering, and estimation of stochastic diffusion models. The material has also been revised to include S-Plus (the statistical analysis software) commands and demonstrations. ([c] 2005 Book News, Inc., Portland, OR) |
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