SOA QFI Track 参考书超全大合集

https://bbs.pinggu.org/thread-6906828-1-1.html

书籍名称：Analysis of Financial Time Series

作者：Ruey S. Tsay

出版年份：2010, 3rd Edition

共707p，文字版（非扫描版）PDF

ISBN 978-0-470-41435-4

目录：

Preface xvii Preface to the Second Edition
Preface to the First Edition
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, Quantiles, and Value at Risk
8 Multivariate Time Series Analysis and Its Applications
9 Principal Component Analysis and Factor Models
10 Multivariate Volatility Models and Their Applications
11 State-Space Models and Kalman Filter
12 Markov Chain Monte Carlo Methods with Applications
Index