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Analysis of Financial Time Series
monograph
Author(s):
Ruey S. Tsay
Publication date
(Print):
January 11 2002
Publisher:
John Wiley & Sons, Inc.
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Book
ISBN (Print):
0471415448
ISBN (Electronic):
0471264105
Publication date (Print):
January 11 2002
DOI:
10.1002/0471264105
SO-VID:
a56813a5-28ca-41a1-a46a-afcb339e5f44
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Book chapters
pp. i
Frontmatter
pp. 1
Financial Time Series and Their Characteristics
pp. 22
Linear Time Series Analysis and Its Applications
pp. 79
Conditional Heteroscedastic Models
pp. 126
Nonlinear Models and Their Applications
pp. 175
High-Frequency Data Analysis and Market Microstructure
pp. 221
Continuous-Time Models and Their Applications
pp. 256
Extreme Values, Quantile Estimation, and Value at Risk
pp. 299
Multivariate Time Series Analysis and Its Applications
pp. 357
Multivariate Volatility Models and Their Applications
pp. 395
Markov Chain Monte Carlo Methods with Applications
pp. 445
Index
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