Financial Time Series
Financial Time Series
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DOI：
10.1002/0471667196.ess3146
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发表时间：
2006-08
期刊：
影响因子：
6.1
通讯作者：
R. Tsay
中科院分区：
文献类型：
--
作者：
R. Tsay
金融时间序列分析关注的是随着时间的推移资产估值的理论和实践。本文介绍了金融时间序列的主要特征和性质，并讨论了可用于分析此类序列的计量经济学和统计学方法。它还讨论了金融时间序列分析的最新发展，高频交易数据的出现和衍生品定价的随机扩散方程的估计。关键词：条件异方差;峰度;拟极大似然估计;随机扩散;波动率
Financial time series analysis is concerned with theory and practice of asset valuation over time. This article introduces key features and properties of financial time series and discusses econometric and statistical methods available for analyzing such series. It also discusses recent developments in financial time series analysis in the advent of high-frequency transaction data and in estimation of stochastic diffusion equations for derivative pricing. Keywords: conditional heteroscedasticity; kurtosis; quasi maximum likelihood estimate; stochastic diffusion; volatility