Analysis of Financial Time Series

Ruey S. Tsay

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:

• Analysis and application of univariate financial time series
• The return series of multiple assets
• Bayesian inference in finance methods

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

User 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!

Contents

• Financial Time Series and Their Characteristics: 1
• Linear Time Series Analysis and Its Applications: 29
• Conditional Heteroscedastic Models: 109
• Nonlinear Models and Their Applications: 175
• HighFrequency Data Analysis and Market Microstructure: 231
• ContinuousTime Models and Their Applications: 287
• Extreme Values Quantiles and Value at Risk: 325
• Multivariate Time Series Analysis and Its Applications: 389
• Principal Component Analysis and Factor Models: 467
• Multivariate Volatility Models and Their Applications: 505
• StateSpace Models and Kalman Filter: 557
• Markov Chain Monte Carlo Methods with Applications: 613
• Index: 673

About the author

RUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. Dr. Tsay has written over 100 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control, and he is the coauthor of A Course in Time Series Analysis (Wiley). Dr. Tsay is a Fellow of the American Statistical Association, the Institute of Mathematical Statistics, the Royal Statistical Society, and Academia Sinica.

Bibliographic information

• Title: Analysis of Financial Time Series
• Author: Ruey S. Tsay
• Edition: 3, illustrated
• Publisher: John Wiley & Sons, 2010
• ISBN: 1118017099, 9781118017098
• Length: 720 pages
• Subjects: Business & Economics / Finance / General; Mathematics / General; Mathematics / Probability & Statistics / General; Mathematics / Probability & Statistics / Stochastic Processes; Mathematics / Probability & Statistics / Time Series