Analysis of Financial Time Series
This book provides a broad, mature, and systematic introduction tocurrent financial econometric models and their applications tomodeling and prediction of financial time series data. It utilizesreal-world examples and real financial data throughout the book toapply the models and methods described.
The author begins with basic characteristics of financial timeseries data before covering three main topics:
Key features of the new edition include additional coverage ofmodern day topics such as arbitrage, pair trading, realizedvolatility, and credit risk modeling; a smooth transition fromS-Plus to R; and expanded empirical financial data sets.
The overall objective of the book is to provide some knowledgeof financial time series, introduce some statistical tools usefulfor analyzing these series and gain experience in financialapplications 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