Analysis of Financial Time Series - Hardcover

Tsay, Ruey S.

4.22

101 ratings by Goodreads

9780471415442: Analysis of Financial Time Series

Hardcover

ISBN 10: 0471415448 ISBN 13: 9780471415442

Publisher: Wiley-Interscience, 2001

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Fundamental topics and new methods in time series analysis

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.

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About the Author:

RUEY S. TSAY, PhD, is H. G. B. Alexander Professor of Econometrics and Statistics in the Graduate School of Business at the University of Chicago.

Review:

“...in my view, this is the number one reference for a course on financial econometrics...” (Statistical Papers, Vol.45, No.4, October 2004)

“...covers classical and new topics of financial econometrics...lots of examples, exercises and references at each chapter...” (Zentralblatt Math, Vol.1037, No.12, 2004)

"A textbook for graduate students of business or of mathematics with a business orientation." (Reference & Research Book News, May 2002)

"...an introductory book intended to provide a comprehensive and systematic account of financial econometric models and their application to modeling and prediciont..." (Quarterly of Applied Mathematics, Vol. LX, No. 2, June 2002)

"...an insightful and timely text...compelling reading...I would strongly consider using this text.." (Journal of Financial Research, Fall 2002)

"Always looking for a newer and better book, I will certainly enjoy having Analysis of Financial Time Series as my new primary resource." (Technometrics, Vol. 44, No. 4, November 2002)

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