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Analysis of Financial Time Series
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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.
John Wiley & Sons, Inc.; July 2010
712 pages; ISBN 9781118017098
Read online, or download in EPUB or secure PDF format
712 pages; ISBN 9781118017098
Read online, or download in EPUB or secure PDF format
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9781118126974
9781118017098
9780470644553
9780470414354
0470644559