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Analysis of Financial Time Series (Tsay)

 Author(s)  Ruey S. Tsay
 Title  Analysis of Financial Time Series
 Edition  Second Edition
 Year  2005
 Publisher  Wiley-Interscience
 ISBN  0-471-69074-0

Data sets are available via the author's website:

Table of Contents


Preface to 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, Quantile Estimation, 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.


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