Analysis of Financial Time Series
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Publication:5706503
Co-integrationDifusionExtreme valueFinanceFinancial factor modelHeavy tailed distributionKalman filterMCMCMultiple assetsOptionsPortfolio analysisTime seriesVar, VARMAVolatility
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Auctions, bargaining, bidding and selling, and other market models (91B26) Economic time series analysis (91B84)
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