| Titre : | Analysis of financial time series | | Type de document : | texte imprimé | | Auteurs : | Tsay, Ruey S. | | Mention d'édition : | 2nd ed. | | Editeur : | Hoboken, NJ : John Wiley & Sons | | Année de publication : | 2005 | | Collection : | Wiley Series in Probability and Statistics | | Importance : | xxi - 605 p. | | ISBN/ISSN/EAN : | 978-0-471-69074-0 | | Langues : | Anglais | | Catégories : | 62-XX Statistics:62MXX Inference from stochastic processes:62M10 Time series, auto-correlation, regression, etc.
91-XX Game theory, economics, social and behavioral sciences:91-01 Instructional exposition (textbooks, tutorial papers, etc.)
91-XX Game theory, economics, social and behavioral sciences:91BXX Mathematical economics :91B84 Economic time series analysis
| | Mots-clés : | kalman filter portfolio analyses financial factor model mcmc volatility co-integration heavy tailed distribution multiple assets extreme value difusion options var, varma finance time series | | Index. décimale : | 62C Monographie |
Analysis of financial time series [texte imprimé] / Tsay, Ruey S. . - 2nd ed. . - Hoboken, NJ : John Wiley & Sons, 2005 . - xxi - 605 p. . - ( Wiley Series in Probability and Statistics) . ISBN : 978-0-471-69074-0 Langues : Anglais | Catégories : | 62-XX Statistics:62MXX Inference from stochastic processes:62M10 Time series, auto-correlation, regression, etc.
91-XX Game theory, economics, social and behavioral sciences:91-01 Instructional exposition (textbooks, tutorial papers, etc.)
91-XX Game theory, economics, social and behavioral sciences:91BXX Mathematical economics :91B84 Economic time series analysis
| | Mots-clés : | kalman filter portfolio analyses financial factor model mcmc volatility co-integration heavy tailed distribution multiple assets extreme value difusion options var, varma finance time series | | Index. décimale : | 62C Monographie |
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