Analysis of Financial Time Series, 3rd Edition

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.

Customer Reviews:

brilliant book that hits the mark

By Marc Mest - February 5, 2012

I am a fan of books which bridge the gap in learning for students from standard theory and applications into the world of finance.

And this book is really a must for professionals or investors who really want to employ models in their trading. Books like Hull and other standard texts for options are great at the mathematical theories, but don't really do a great job with modeling, let alone time series.

This book does require more than a basic understanding of statistics. Though the first few chapters do give a nice foundation or review so to speak. The math components of the book are not instructional, so it is not an easy read for someone without the math background.

The goal of this book is to be both instructional on how to build models. The author is instructional on the various theories used in financial modeling. Where the author really hits home is the analysis of how various metrics in the market should be analyzed. For instance, building... read more

Great book on time-series

By Z. Ge "bookworm" - February 5, 2012

The strength of the book is that it explains the concepts very intuitively, without using too many math formula. So the book can be used by practitioners as well as graduate students. There are tons of examples in financial markets which are interesting in themselves.

I personally found the chapter on non-linear time-series very interesting, in which the author provides interesting insight.

E-book is a hit for me with some issues

By SamS - July 30, 2011

I purchased the ebook, and overall, I am satisfied. However, there are problems with the equations. Inequality signs do not appear, which will create much confusion for those, not versed in the mathematics of time series. It would be nice if the author/creator of the ebook would do the following:
(1) Look at the result before you proceed to far down the road in your editing. The font size of the equations is too small relative to the text. (2) Make certain the inequality signs show up!!

Having made these statements, I travel and find that ebooks are indispensable references on my iPad2. Even with these problems, I can struggle through and understand the material (at least, so far).

More ebooks please, Amazon, and publishers!!!

Sam Sugiyama, Ph.D.
EC RISK USA & EUROPE LLC