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Analysis of Financial Time Series
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Description
Description| Publisher | John Wiley & Sons Inc (US) |
| Author(s) | Ruey S. Tsay |
| Edition | 3 |
| Published | 4th August 2010 |
| Related course codes | EC5213 - Financial Econometrics, QBUS6830 - Financial Time Series and Forecasting |
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.
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.
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