Analysis of financial time series

Tsay, Ruey S. - Canadá : John Wiley & Sons - 2010
Incluye referencias bibliográficas

Financial time series their characteristics -- Linear time analysis and its applications -- Conditional heteroscedastic models -- Nonlinear models and their applications -- Multivariate time series analysis and its applications -- Principal component analysis and factor models -- Multivariate volatility models and their applications -- State-Space models and Kalman filter -- Markov chain monte carlo methods with applications.