C*********e
发帖数: 587 | 1 从Time Series角度分析Finance数据的书籍，有什么推荐吗，谢谢 |
j*****4
发帖数: 292 | 2 Analysis of Financial Time series.
-Ruey S. Tsay
【在 C*********e 的大作中提到】
: 从Time Series角度分析Finance数据的书籍，有什么推荐吗，谢谢
|
C*********e
发帖数: 587 | 3 赞，谢谢～～～
【在 j*****4 的大作中提到】
: Analysis of Financial Time series.
: -Ruey S. Tsay
|
A********a
发帖数: 133 | 4 Hamilton's Time Series Analysis is the standard for teaching at PhD level.
Tsay is used by some MSCF/MSFE programs. Lo/Mckinlay/Campbell's "
Econometrics in Financial Markets" was/in good for empirical research.
Maybe there are somethings new i don't know. Comments and suggestions. |
z****g
发帖数: 1978 | 5 ha, Time Series. Almost all the books are out of date.
The key for time series is not prediction, although most people think it is,
but rather to figure out the internal structure of the series and hence
show your respect to the unknown.
The tip is that time series can be boil down to MLE and regression. Make
sure you understand MLE, Regression, GME well. |
t********s
发帖数: 54 | |
z****g
发帖数: 1978 | 7 General momentum estimation
Which is more robust and computational inexpensive, hence widely used in
industry,
although MLE is the academically preferred one.
【在 t********s 的大作中提到】
: What is GME?
|
l****o
发帖数: 2909 | 8 r u talking about GMM?
【在 z****g 的大作中提到】
: General momentum estimation
: Which is more robust and computational inexpensive, hence widely used in
: industry,
: although MLE is the academically preferred one.
|
M*****y
发帖数: 666 | 9 Campbell called his 10 years old book little obsolete
【在 A********a 的大作中提到】
: Hamilton's Time Series Analysis is the standard for teaching at PhD level.
: Tsay is used by some MSCF/MSFE programs. Lo/Mckinlay/Campbell's "
: Econometrics in Financial Markets" was/in good for empirical research.
: Maybe there are somethings new i don't know. Comments and suggestions.
|
l**********t
发帖数: 5754 | 10 IMHO, Hamilton's Time Series Analysis is a better read than Tsay's. I sold
my Tsays' copy after bought Hamilton's for reference.
【在 A********a 的大作中提到】
: Hamilton's Time Series Analysis is the standard for teaching at PhD level.
: Tsay is used by some MSCF/MSFE programs. Lo/Mckinlay/Campbell's "
: Econometrics in Financial Markets" was/in good for empirical research.
: Maybe there are somethings new i don't know. Comments and suggestions.
|
b*********n
发帖数: 2284 | 11 not much breakthrough in time series in last 10 years...
【在 M*****y 的大作中提到】
: Campbell called his 10 years old book little obsolete
|
h*****i
发帖数: 1017 | 12 time series is stat course? |
l******i
发帖数: 1404 | 13 Granger Causality算不算breakthrough?
2003 Nobel Prize in Economics
【在 b*********n 的大作中提到】
: not much breakthrough in time series in last 10 years...
|
s*****d
发帖数: 58 | 14 这个causality 算不上什么breakthrough, 很多批评.
Granger得nobel prize 可不是因为causality.
【在 l******i 的大作中提到】
: Granger Causality算不算breakthrough?
: 2003 Nobel Prize in Economics
|
