文档介绍：Analysis of Financial
Time Series
Analysis of Financial
Time Series
Financial Econometrics
RUEY S. TSAY
University of Chicago
A Wiley-Interscience Publication
JOHN WILEY & SONS, INC.
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Copyright c 2002 by John Wiley & Sons, Inc. All rights reserved.
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Library of Congress Cataloging-in-Publication Data
Tsay, Ruey S., 1951–
Analysis of financial time series / Ruey S. Tsay.
p. cm. —(Wiley series in probability and statistics. Financial engineering section)
“A Wiley-Interscience publication.”
Includes bibliographical references and index.
ISBN 0-471-41544-8 (cloth : alk. paper)
1. Time-series analysis. 2. Econometrics. 3. Risk management. I. Title. II. Series.
T76 2001
332.015195—dc21 2001026944
Printed in the United States of America
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To my parents and Teresa
Contents
Preface xi
1. Financial Time Series and Their Characteristics 1
Asset Returns, 2
Distributional Properties of Returns, 6
Processes Considered, 17
2. Linear Time Series Analysis and Its Applications 22
Stationarity, 23
Correlation and Autocorrelation Function, 23