The DOI matches its Crossref record; 105 of the 105 references it cites were found in a registry or an index.
Analysis of Financial Time Series
Abstract
Preface. 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. Index.
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Cites
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Zhang, Y., & Haghani, A. (2015) · Transportation Research Part C: Emerging Technologies · doi:10.1016/j.trc.2015.02.019 · Cited by 832
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Metadata
- Venue
- Technometrics
- Publisher
- Informa UK Limited
- Published
- 2006-05
- Volume
- 48
- Issue
- 2
- Pages
- 316-316
- ISSN
- 0040-1706 (ISSN-L)
- 1537-2723
- OpenAlex
- W2134752891
- Cited by
- 2,348
- References
- 105
- Type
- book review
- Language
- en
- Open access
- closed
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