Analysis of Financial Time Series
by Ruey S Tsay
Fundamental topics and new methods in time series analysis "Analysis of Financial Time Series" provides a comprehensive and systematic introduction ... Show synopsis 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 analysisMarkov Chain Monte Carlo (MCMC) methodsDerivative pricing using jump diffusion with closed-form formulasVaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson processMultivariate 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.