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Analysis of Financial Time Series (Probability and Statistics)

By Ruey S. Tsay

Publisher: Wiley

Number Of Pages: 712

Publication Date: 2010-08-30

ISBN-10 / ASIN: 0470414359

ISBN-13 / EAN: 9780470414354

Product Description:

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.

Summary: Very good practical book

Rating: 5It's very good to see the demonstration of the examples are all in R or S-plus in this edition. The book is particular using the Rmetrics series packages as the sources of time series analysis, and the website of the book tells you which particular package you need for the topic of the time series and this definitely reduces the time of looking for packages in R for the analysis.

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2.5 out of 5 by Book123