Analysis of financial time series(Second Edition)
Author: Ruey S. Tsay
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Preface
The subject of financial time series analysis has attracted substantial attention in
recent years, especially with the 2003 Nobel awards to Professors Robert Engle and
Clive Granger. At the same time, the field of financial econometrics has undergone
various new developments, especially in high-frequency finance, stochastic volatility,
and software availability. There is a need to make the material more complete
and accessible for advanced undergraduate and graduate students, practitioners, and
researchers. The main goals in preparing this second edition have been to bring the
book up to date both in new developments and empirical analysis, and to enlarge
the core material of the book by including consistent covariance estimation under
heteroscedasticity and serial correlation, alternative approaches to volatility modeling,
financial factor models, state-space models, Kalman filtering, and estimation
of stochastic diffusion models.