Analysis of Financial Time Series (Wiley Series in Probability and Statistics)2nd edition 
asked by vegaswinner on November 9, 2006 9:26 PM
Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book.
Youll find a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This edition continues to emphasize empirical financial data and focuses on real-world examples. Youll master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.
This is an ideal textbook for MBA students and a key reference for researchers and professionals in business and finance. Order your copy today.
Reviews
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This book is an excellent toolbox for anyove dealing in the field of financial engineering, however, as a real toolbox, the author doesn't explain the exact use of all tools and how to interpret the results. This is why this book is for advanced users who need a well documented reference but it is not very suitable for beginners in the field. The Splus code is welcome.
reviewed by shirley49 on November 21, 2006 10:15 PM
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Written by a University of Chicago professor, this book comprehensively covers times series topics relative to investment and trading-oriented finance (i.e., Wall Street money-making machines). Treatment is generally clear and thorough, but an advanced math and stat background is an absolute prerequisite for understanding the materials.
S-Plus/R code is given, but strangely, there is very little on *why* and
*when* one uses each of the techniques. Under what cirmcustances should I use or not use GARCH? What exactly is PCA good for in real-world applications? These important questions are not answered, in other words, you don't get a sense of the real-world context for these topics.
S-Plus/R code is given, but strangely, there is very little on *why* and
*when* one uses each of the techniques. Under what cirmcustances should I use or not use GARCH? What exactly is PCA good for in real-world applications? These important questions are not answered, in other words, you don't get a sense of the real-world context for these topics.
reviewed by geri1956 on November 29, 2006 12:37 AM
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This is the bible of financial time series analysis. All the main methods are included, with each of them being well described and provided with readable examples. You physics quants out there who are new to finance can use this as a self-contained textbook, while you stats guys and gals can use this as a quick reference. The treatment of VaR is the only real weakness, and you will be hindered a little if you don't have access to S-Plus.
Sincerely,
Alex Alaniz Ph.D.
1. Please see the reviews of my own strong science fiction book: Beyond Future Shock about the near-terms perils and promise of advanced bio/nano technology in a world still roiled with Middle Age religious conflict and ever growing extreme wealth gradients.
2. I have REVIEWED many books from undergraduate to graduate in: PHYSICS, MATH, ECONOMETRICS, and HISTORY among other areas.
Sincerely,
Alex Alaniz Ph.D.
1. Please see the reviews of my own strong science fiction book: Beyond Future Shock about the near-terms perils and promise of advanced bio/nano technology in a world still roiled with Middle Age religious conflict and ever growing extreme wealth gradients.
2. I have REVIEWED many books from undergraduate to graduate in: PHYSICS, MATH, ECONOMETRICS, and HISTORY among other areas.
reviewed by bones on November 29, 2006 10:32 AM
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First of all, it is well written in a very practical point of view. The whole book is aimed fullly to real financial data(appended in the author's web). People can gain not only the well-explained theories but the hand-on experience with data analysis using SPLUS or any other package.
Secondly, the author is a real expert in this field and has been publishing lots of nice work. All models in the book are clearly illustrated and commented.
Thirdly, it covers a lot of topics in analysis of FT. Reader can learn almost all the valuable things in this field from this book.
If anyone wanna truly learn this book, she/he has to sit down and plays some real data on computer. I think this is the best way and the only way to use this book.
Secondly, the author is a real expert in this field and has been publishing lots of nice work. All models in the book are clearly illustrated and commented.
Thirdly, it covers a lot of topics in analysis of FT. Reader can learn almost all the valuable things in this field from this book.
If anyone wanna truly learn this book, she/he has to sit down and plays some real data on computer. I think this is the best way and the only way to use this book.
reviewed by harrypotter on November 29, 2006 4:20 PM