发帖
雷达卡
本帖隐藏的内容
Provides statistical tools and techniques needed to understand today's financial markets The Second Edition of this critically acclaimed text provides a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This latest edition continues to emphasize empirical financial data and focuses on real-world examples. Following this approach, readers will master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods. The author begins with the basic characteristics of financial time series data, setting the foundation for the three main topics:
- Analysis and application of univariate financial time series
- Return series of multiple assets
- Bayesian inference in finance methods
- Consistent covariance estimation under heteroscedasticity and serial correlation
- Alternative approaches to volatility modeling
- Financial factor models
- State-space models
- Kalman filtering
- Estimation of stochastic diffusion models
京公网安备 11010802022788号
