Analysis of Financial Time Series is a textbook by author Ruey S. Tsay, focused on the analysis and modeling of financial time series. This reference work provides a structured introduction to financial time series and related econometric models, with applications to real financial data.
Contents
The book covers characteristics of financial time series and discusses three main topics:
- Analysis and application of univariate financial time series
- The return series of multiple assets
- Bayesian inference in financial models
The latest edition includes current topics such as arbitrage, pair trading, realized volatility, and credit risk modeling. In addition, there is a smooth transition from S-Plus to R, and the empirical financial data sets have been expanded.
Product specifications
- Author: Ruey S. Tsay (University of Chicago, IL, USA)
- Publisher: John Wiley & Sons Inc
- Publication date: 2010-09-10
- Number of pages: 720
- ISBN: 9780470414354
- Subject: Finance and the finance industry
- BISAC: BUSINESS & ECONOMICS / Finance / General
About the author
RUEY S. TSAY, PhD, is the H. G. B. Alexander Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. He has published more than one hundred articles on economic forecasting, data analysis, risk management, and process control. In addition, he is co-author of A Course in Time Series Analysis. Dr. Tsay is a Fellow of several well-regarded statistical organizations.