Analysis of Financial Time Series
John Wiley & Sons, Oct 26, 2010 - Mathematics - 720 pages
This book provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described.
The author begins with basic characteristics of financial time series data before covering three main topics:
Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets.
The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.
What people are saying - Write a review
No clear difference with the previous editions!
However this is a very important textbook for students and practitioners in financial econometrics. The use of R makes it the best ever!
Linear Time Series Analysis and Its Applications
Conditional Heteroscedastic Models
Nonlinear Models and Their Applications
HighFrequency Data Analysis and Market Microstructure
ContinuousTime Models and Their Applications
Extreme Values Quantiles and Value at Risk