Finance Mathematical Models - Analysis of Financial Time Series - R S Tsay (John Wiley & Sons) - 2005
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Contents
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Preface |
xvii |
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Preface to First Edition |
xix |
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1. Financial Time Series and Their Characteristics |
1 |
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1.1 Asset Returns, |
2 |
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1.2 Distributional Properties of Returns, |
7 |
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1.2.1 Review of Statistical Distributions and Their Moments, |
7 |
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1.2.2 Distributions of Returns, |
13 |
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1.2.3 Multivariate Returns, |
16 |
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1.2.4 Likelihood Function of Returns, |
17 |
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1.2.5 Empirical Properties of Returns, |
17 |
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1.3 Processes Considered, |
20 |
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Exercises, |
22 |
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References, |
23 |
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2. Linear Time Series Analysis and Its Applications |
24 |
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2.1 Stationarity, |
25 |
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2.2 Correlation and Autocorrelation Function, |
25 |
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2.3 White Noise and Linear Time Series, |
31 |
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2.4 Simple Autoregressive Models, |
32 |
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2.4.1 Properties of AR Models, |
33 |
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2.4.2 Identifying AR Models in Practice, |
40 |
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2.4.3 Goodness of Fit, |
46 |
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2.4.4 Forecasting, |
47 |
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