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Analysis of Financial Time Series
Financial Econometrics
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Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application 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; and Bayesian inference in finance methods. Timely topics and recent results include:
* Value at Risk (VaR)
* High-frequency financial data analysis
* Markov Chain Monte Carlo (MCMC) methods
* Derivative pricing using jump diffusion with closed-form formulas
* VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process
* Multivariate volatility models with time-varying correlations
Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods.
462 pages; ISBN 9780471461616
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- Academic > Statistics > Theory and method of social science statistics > Time-series analysis
- Academic > Mathematics > Probabilities. Mathematical statistics > Time-series analysis
- Academic > Mathematics > General > Mathematicians; Biography
- Mathematics > Probability & Statistics
- Mathematics > Applied
- Business > Risk Management
- Business > Econometrics
- Business > Forecasting