Analysis of economic Time Series Research Newspaper

Analysis of Financial Time Series

Third Edition

RUEY S i9000. TSAY

The University of Chicago Booth School of Business Chicago, il, IL


Analysis of Financial Time Series

WILEY SERIES IN PROBABILITY AND FIGURES Established by WALTER A. SHEWHART and SAMUEL S. WILKS Editors: David J. Hair thinning, Noel A. C. Cressie, Garrett M. Fitzmaurice, Iain M. Johnstone, Geert Molenberghs, David Watts. Scott, Adrian F. Meters. Smith, Ruey S. Tsay, Sanford Weisberg Editors Emeriti: Vic Barnett, J. Stuart Hunter, Jozef L. Teugels A complete list of the game titles in this series appears by the end of this quantity.

Analysis of Financial Time Series

Third Edition


The University of Chicago Presentation area School of Business Chicago, IL


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To Teresa and my father, in addition to memory of my mom


Preamble Preface towards the Second Edition Preface towards the First Edition 1 Financial Time Series and Their Features 1 . one particular 1 . two

xvii xix xxi 1

Asset Results, 2 Distributional Properties of Returns, six 1 . 2 . 1 Review of Statistical Distributions and Their Moments, 7 1 ) 2 . a couple of Distributions of Returns, 16 1 . 2 . 3 Multivariate Returns, 18 1 . 2 . 4 Likelihood Function of Returns, nineteen 1 . 2 . 5 Scientific Properties of Returns, nineteen 1 . 3 Processes Regarded as, 22 Appendix: R Plans, 24 Physical exercises, 25 References, 27 a couple of Linear Period...