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Analysis of Financial Time Series

Ruey S. Tsay

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John Wiley & Sons img Link Publisher

Naturwissenschaften, Medizin, Informatik, Technik / Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik


This book provides a broad, mature, and systematic introduction tocurrent financial econometric models and their applications tomodeling and prediction of financial time series data. It utilizesreal-world examples and real financial data throughout the book toapply the models and methods described. The author begins with basic characteristics of financial timeseries data before covering three main topics: * Analysis and application of univariate financial timeseries * The return series of multiple assets * Bayesian inference in finance methods Key features of the new edition include additional coverage ofmodern day topics such as arbitrage, pair trading, realizedvolatility, and credit risk modeling; a smooth transition fromS-Plus to R; and expanded empirical financial data sets. The overall objective of the book is to provide some knowledgeof financial time series, introduce some statistical tools usefulfor analyzing these series and gain experience in financialapplications of various econometric methods.


(Mathematical Reviews, 2011)
"Analysis of financial time series, third edition, is an ideal book for introductory courses on time series at the graduate level and a valuable supplement for statistics courses in time series at the upper-undergraduate level."
(Zentralblatt MATH, 2011)
"Nevertheless, all in all the book can be a very useful reference for students as well as for professionals."
(, January 2011)
"Factor models, an important technique used in quantitative finance, are given a full treatment with macroeconomic factor models and fundamental factor models. The coverage of the book is comprehensive. It starts from basic time series techniques and finishes with advanced concepts such as state space models and MCMC methods. There is a balance between the theoretical background necessary to appreciate the nuances and the practical aspect of implementation. More importantly it gives insights about what time series models can't address. The book has an excellent supporting website which has all the programs and data sets which helps to internalize the concepts. Finally, teaching professionals should find the solutions manual as a valuable tool to explain concepts and to ensure understanding."
(Insurance News Net, 8 December 2010)
"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."
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Finance & Investments, Zeitreihen, Finanz- u. Anlagewesen, Finanztechnik, Finanz- u. Wirtschaftsstatistik, Statistics for Finance, Business & Economics, Statistik, Finanzwirtschaft, Time Series, Financial Engineering, Statistics, Zeitreihenanalyse