作者：RUEY S. TSAY

University of Chicago

目录：

1. Financial Time Series and Their Characteristics

2. Linear Time Series Analysis and Its Applications

3.Conditional Heteroscedastic Models

4. Nonlinear Models and Their Applications

5. High-Frequency Data Analysis and Market Microstructure

6. Continuous-Time Models and Their Applications

7. Extreme Values, Quantile Estimation, and Value at Risk

8. Multivariate Time Series Analysis and Its Applications

9. Multivariate Volatility Models and Their Applications

10. Markov Chain Monte Carlo Methods with Applications

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