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Analysis of Financial Time Series
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Format: Hardback
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Analysis of Financial Time Series
$28199
Unit price
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Unavailable
Book Hero Magic created this recommendation. While it's new and still learning, it may not be perfect - your feedback is welcome! IS THIS YOUR NEXT READ?
Analysis of Financial Time Series, Third Edition 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.
Book Hero Magic formatted this description to make it easier to read. While it's new and
still learning, it may not be perfect - your
feedback is welcome!
Description
Analysis of Financial Time Series provides a broad, mature, and systematic introduction to current financial econometric models and their applications to modelling and prediction of financial time series data. It utilises 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, realised volatility, and credit risk modelling; 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 analysing these series, and gain experience in financial applications of various econometric methods.
Book Hero Magic summarised reviews for this book. While it's new and still learning, it may not be perfect - your feedback is welcome! HOW HAS THIS BEEN REVIEWED?
Analysis of Financial Time Series is praised as an ideal introductory text for graduate courses and a valuable supplement for upper-undergraduate statistics courses, as noted in Mathematical Reviews. Zentralblatt MATH highlights its usefulness for both students and professionals. BookPleasures.com commends its comprehensive coverage from basic to advanced time series concepts and its practical insights. Insurance News Net appreciates its broad and systematic introduction to financial econometric models using real-world examples and data.
Book Details
INFORMATION
ISBN: 9780470414354
Publisher: John Wiley & Sons Inc
Format: Hardback
Date Published: 10 September 2010
Country: United States
Imprint: John Wiley & Sons Inc
Edition: 3rd edition
Illustration: Charts: 17 B&W, 0 Color; Photos: 0 B&W, 0 Color; Drawings: 3 B&W, 0 Color; Tables: 0 B&W, 0 Color; Graphs: 142 B&W, 0 Color
Audience: Professional and scholarly
DIMENSIONS
Spine width: 38.0mm
Width: 158.0mm
Height: 236.0mm
Weight: 1111g
Pages: 720
About the Author
RUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. Dr. Tsay has written over 100 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control, and he is the coauthor of A Course in Time Series Analysis (Wiley). Dr. Tsay is a Fellow of the American Statistical Association, the Institute of Mathematical Statistics, the Royal Statistical Society, and Academia Sinica.
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