Analysis of Financial Time Series

Provides statistical tools and techniques needed to understand today's financial markets

The Second Edition of this critically acclaimed text provides a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This latest edition continues to emphasize empirical financial data and focuses on real-world examples. Following this approach, readers will master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.

The author begins with the basic characteristics of financial time series data, setting the foundation for the three main topics:

Analysis and application of univariate financial time series
Return series of multiple assets
Bayesian inference in finance methods

This new edition is a thoroughly revised and updated text, including the addition of S-Plus® commands and illustrations. Exercises have been thoroughly updated and expanded and include the most current data, providing readers with more opportunities to put the models and methods into practice. Among the new material added to the text, readers will find:

Consistent covariance estimation under heteroscedasticity and serial correlation
Alternative approaches to volatility modeling
Financial factor models
State-space models
Kalman filtering
Estimation of stochastic diffusion models

The tools provided in this text aid readers in developing a deeper understanding of financial markets through firsthand experience in working with financial data. This is an ideal textbook for MBA students as well as a reference for researchers and professionals in business and finance.

Customer Reviews:

Broad coverage, but not for the faint-hearted

By Gadgester "No Time, No Money" - July 4, 2006

Written by a University of Chicago professor, this book comprehensively covers times series topics relative to investment and trading-oriented finance (i.e., Wall Street money-making machines). Treatment is generally clear and thorough, but an advanced math and stat background is an absolute prerequisite for understanding the materials.

S-Plus/R code is given, but strangely, there is very little on *why* and

*when* one uses each of the techniques. Under what cirmcustances should I use or not use GARCH? What exactly is PCA good for in real-world applications? These important questions are not answered, in other words, you don't get a sense of the real-world context for these topics.

A very practical book

By "yin_luo" - June 12, 2002

This is not a reference book, and it's not about "big" theory either. It's pretty practical, and good for self study. You should have access to some econometric/statistical software (i.e. EViews, S-Plus, etc.) to fully understand this book.

Statistician's favorite

By hd "dongh79@yahoo.com" - December 10, 2004

I had a detailed study of the whole book before finally deciding to buy in on web. As a statistician and a beginner on Math Finance, I would say this book deserves every penny I spent on it.

The author's intention to make it a reference book can be appreciated by both educators and practitioners. It starts with a couple of chapters on the ARIMA and the GARCH models. Little theoretic depth was explored yet the algorithms and the procedures for solution are emphasized. After that, the topic switches to the nonlinear time series modeling and high-freq data analysis. This part is, and will be, rather confusing to readers with less training in financial economics and theories are reluctantly clearly stated. What follows is a single chapter of so-called continuous time models and it is actually a sketch of the first few chapters of any mathematical finance textbook. Literally, this chapter is all about Black-Scholes and a little jump-diffusion model. The major reason why I called... read more

AVAILABILITY
Merchant	Format	Price
Amazon US	Paperback	$15.00 - $148.00
eBooks.com	Digital (PDF)	$148.00
BookByte	Paperback	$138.10
eCampus	Paperback	~~$12.00~~ discount!