Analysis of Financial Time Series
"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...
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Provides statistical tools and techniques needed to understand today's financial marketsThe 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 seriesReturn series of multiple assetsBayesian inference in finance methodsThis 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 correlationAlternative approaches to volatility modelingFinancial factor modelsState-space modelsKalman filteringEstimation of stochastic diffusion modelsThe 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.
1Financial time series and their characteristics12Linear time series analysis and its applications243Conditional heteroscedastic models974Nonlinear models and their applications1545High-frequency data analysis and market microstructure2066Continuous-time models and their applications2517Extreme values, quantile estimation, and value at risk2878Multivariate time series analysis and its applications3399Principal component analysis and factor models40510Multivariate volatility models and their applications44311State-space models and Kalman filter49012Markov chain Monte Carlo methods with applications543
\ From the Publisher"Analysis of financial time series, third edition, is an ideal book for introductory courses on time series at the graduate level and a valuable supplement for statistics courses in time series at the upper-undergraduate level." (Mathematical Reviews, 2011)\ "Nevertheless, all in all the book can be a very useful reference for students as well as for professionals." (Zentralblatt MATH, 2011)\ "Factor models, an important technique used in quantitative finance, are given a full treatment with macroeconomic factor models and fundamental factor models.\ The coverage of the book is comprehensive. It starts from basic time series techniques and finishes with advanced concepts such as state space models and MCMC methods. There is a balance between the theoretical background necessary to appreciate the nuances and the practical aspect of implementation. More importantly it gives insights about what time series models can't address. The book has an excellent supporting website which has all the programs and data sets which helps to internalize the concepts. Finally, teaching professionals should find the solutions manual as a valuable tool to explain concepts and to ensure understanding." (BookPleasures.com, January 2011)\ "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." (Insurance News Net, 8 December 2010)\ \ \
