{"product_id":"analysis-of-financial-time-series-9780470414354","title":"Analysis of Financial Time Series","description":"\u003cb\u003eBook Synopsis\u003c\/b\u003e\u003cbr\u003eAnalysis of Financial Time Series, Third Edition 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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTrade Review\u003c\/b\u003e\u003cbr\u003e\"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.\" (\u003ci\u003eMathematical Reviews\u003c\/i\u003e, 2011) \u003cp\u003e\"Nevertheless, all in all the book can be a very useful reference for students as well as for professionals.\" (\u003ci\u003eZentralblatt MATH\u003c\/i\u003e, 2011)\u003c\/p\u003e \u003cp\u003e\"Factor models, an important technique used in quantitative finance, are given a full treatment with macroeconomic factor models and fundamental factor models. \u003cbr\u003eThe 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.\" (\u003ci\u003eBookPleasures.com\u003c\/i\u003e, January 2011)\u003c\/p\u003e \u003cp\u003e\"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.\" (\u003ci\u003eInsurance News Net\u003c\/i\u003e, 8 December 2010)\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eTable of Contents\u003c\/b\u003e\u003cbr\u003e\u003cp\u003ePreface xvii\u003c\/p\u003e \u003cp\u003ePreface to the Second Edition xix\u003c\/p\u003e \u003cp\u003ePreface to the First Edition xxi\u003c\/p\u003e \u003cp\u003e\u003cb\u003e1 Financial Time Series and Their Characteristics 1\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e1.1 Asset Returns, 2\u003c\/p\u003e \u003cp\u003e1.2 Distributional Properties of Returns, 7\u003c\/p\u003e \u003cp\u003e1.3 Processes Considered, 22\u003c\/p\u003e \u003cp\u003e\u003cb\u003e2 Linear Time Series Analysis and Its Applications 29\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e2.1 Stationarity, 30\u003c\/p\u003e \u003cp\u003e2.2 Correlation and Autocorrelation Function, 30\u003c\/p\u003e \u003cp\u003e2.3 White Noise and Linear Time Series, 36\u003c\/p\u003e \u003cp\u003e2.4 Simple AR Models, 37\u003c\/p\u003e \u003cp\u003e2.5 Simple MA Models, 57\u003c\/p\u003e \u003cp\u003e2.6 Simple ARMA Models, 64\u003c\/p\u003e \u003cp\u003e2.7 Unit-Root Nonstationarity, 71\u003c\/p\u003e \u003cp\u003e2.8 Seasonal Models, 81\u003c\/p\u003e \u003cp\u003e2.9 Regression Models with Time Series Errors, 90\u003c\/p\u003e \u003cp\u003e2.10 Consistent Covariance Matrix Estimation, 97\u003c\/p\u003e \u003cp\u003e2.11 Long-Memory Models, 101\u003c\/p\u003e \u003cp\u003e\u003cb\u003e3 Conditional Heteroscedastic Models 109\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e3.1 Characteristics of Volatility, 110\u003c\/p\u003e \u003cp\u003e3.2 Structure of a Model, 111\u003c\/p\u003e \u003cp\u003e3.3 Model Building, 113\u003c\/p\u003e \u003cp\u003e3.4 The ARCH Model, 115\u003c\/p\u003e \u003cp\u003e3.5 The GARCH Model, 131\u003c\/p\u003e \u003cp\u003e3.6 The Integrated GARCH Model, 140\u003c\/p\u003e \u003cp\u003e3.7 The GARCH-M Model, 142\u003c\/p\u003e \u003cp\u003e3.8 The Exponential GARCH Model, 143\u003c\/p\u003e \u003cp\u003e3.9 The Threshold GARCH Model, 149\u003c\/p\u003e \u003cp\u003e3.10 The CHARMA Model, 150\u003c\/p\u003e \u003cp\u003e3.11 Random Coefficient Autoregressive Models, 152\u003c\/p\u003e \u003cp\u003e3.12 Stochastic Volatility Model, 153\u003c\/p\u003e \u003cp\u003e3.13 Long-Memory Stochastic Volatility Model, 154\u003c\/p\u003e \u003cp\u003e3.14 Application, 155\u003c\/p\u003e \u003cp\u003e3.15 Alternative Approaches, 159\u003c\/p\u003e \u003cp\u003e3.16 Kurtosis of GARCH Models, 165\u003c\/p\u003e \u003cp\u003e\u003cb\u003e4 Nonlinear Models and Their Applications 175\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e4.1 Nonlinear Models, 177\u003c\/p\u003e \u003cp\u003e4.2 Nonlinearity Tests, 205\u003c\/p\u003e \u003cp\u003e4.3 Modeling, 214\u003c\/p\u003e \u003cp\u003e4.4 Forecasting, 215\u003c\/p\u003e \u003cp\u003e4.5 Application, 218\u003c\/p\u003e \u003cp\u003e\u003cb\u003e5 High-Frequency Data Analysis and Market Microstructure 231\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e5.1 Nonsynchronous Trading, 232\u003c\/p\u003e \u003cp\u003e5.2 Bid–Ask Spread, 235\u003c\/p\u003e \u003cp\u003e5.3 Empirical Characteristics of Transactions Data, 237\u003c\/p\u003e \u003cp\u003e5.4 Models for Price Changes, 244\u003c\/p\u003e \u003cp\u003e5.5 Duration Models, 253\u003c\/p\u003e \u003cp\u003e5.6 Nonlinear Duration Models, 264\u003c\/p\u003e \u003cp\u003e5.7 Bivariate Models for Price Change and Duration, 265\u003c\/p\u003e \u003cp\u003e5.8 Application, 270\u003c\/p\u003e \u003cp\u003e\u003cb\u003e6 Continuous-Time Models and Their Applications 287\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e6.1 Options, 288\u003c\/p\u003e \u003cp\u003e6.2 Some Continuous-Time Stochastic Processes, 288\u003c\/p\u003e \u003cp\u003e6.3 Ito's Lemma, 292\u003c\/p\u003e \u003cp\u003e6.4 Distributions of Stock Prices and Log Returns, 297\u003c\/p\u003e \u003cp\u003e6.5 Derivation of Black–Scholes Differential Equation, 298\u003c\/p\u003e \u003cp\u003e6.6 Black–Scholes Pricing Formulas, 300\u003c\/p\u003e \u003cp\u003e6.7 Extension of Ito's Lemma, 309\u003c\/p\u003e \u003cp\u003e6.8 Stochastic Integral, 310\u003c\/p\u003e \u003cp\u003e6.9 Jump Diffusion Models, 311\u003c\/p\u003e \u003cp\u003e6.10 Estimation of Continuous-Time Models, 318\u003c\/p\u003e \u003cp\u003e\u003cb\u003e7 Extreme Values, Quantiles, and Value at Risk 325\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e7.1 Value at Risk, 326\u003c\/p\u003e \u003cp\u003e7.2 RiskMetrics, 328\u003c\/p\u003e \u003cp\u003e7.3 Econometric Approach to VaR Calculation, 333\u003c\/p\u003e \u003cp\u003e7.4 Quantile Estimation, 338\u003c\/p\u003e \u003cp\u003e7.5 Extreme Value Theory, 342\u003c\/p\u003e \u003cp\u003e7.6 Extreme Value Approach to VaR, 353\u003c\/p\u003e \u003cp\u003e7.7 New Approach Based on the Extreme Value Theory, 359\u003c\/p\u003e \u003cp\u003e7.8 The Extremal Index, 377\u003c\/p\u003e \u003cp\u003e\u003cb\u003e8 Multivariate Time Series Analysis and Its Applications 389\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e8.1 Weak Stationarity and Cross-Correlation Matrices, 390\u003c\/p\u003e \u003cp\u003e8.2 Vector Autoregressive Models, 399\u003c\/p\u003e \u003cp\u003e8.3 Vector Moving-Average Models, 417\u003c\/p\u003e \u003cp\u003e8.4 Vector ARMA Models, 422\u003c\/p\u003e \u003cp\u003e8.5 Unit-Root Nonstationarity and Cointegration, 428\u003c\/p\u003e \u003cp\u003e8.6 Cointegrated VAR Models, 432\u003c\/p\u003e \u003cp\u003e8.7 Threshold Cointegration and Arbitrage, 442\u003c\/p\u003e \u003cp\u003e8.8 Pairs Trading, 446\u003c\/p\u003e \u003cp\u003e\u003cb\u003e9 Principal Component Analysis and Factor Models 467\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e9.1 A Factor Model, 468\u003c\/p\u003e \u003cp\u003e9.2 Macroeconometric Factor Models, 470\u003c\/p\u003e \u003cp\u003e9.3 Fundamental Factor Models, 476\u003c\/p\u003e \u003cp\u003e9.4 Principal Component Analysis, 483\u003c\/p\u003e \u003cp\u003e9.5 Statistical Factor Analysis, 489\u003c\/p\u003e \u003cp\u003e9.6 Asymptotic Principal Component Analysis, 498\u003c\/p\u003e \u003cp\u003e\u003cb\u003e10 Multivariate Volatility Models and Their Applications 505\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e10.1 Exponentially Weighted Estimate, 506\u003c\/p\u003e \u003cp\u003e10.2 Some Multivariate GARCH Models, 510\u003c\/p\u003e \u003cp\u003e10.3 Reparameterization, 516\u003c\/p\u003e \u003cp\u003e10.4 GARCH Models for Bivariate Returns, 521\u003c\/p\u003e \u003cp\u003e10.5 Higher Dimensional Volatility Models, 537\u003c\/p\u003e \u003cp\u003e10.6 Factor–Volatility Models, 543\u003c\/p\u003e \u003cp\u003e10.7 Application, 546\u003c\/p\u003e \u003cp\u003e10.8 Multivariate t Distribution, 548\u003c\/p\u003e \u003cp\u003e\u003cb\u003e11 State-Space Models and Kalman Filter 557\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e11.1 Local Trend Model, 558\u003c\/p\u003e \u003cp\u003e11.2 Linear State-Space Models, 576\u003c\/p\u003e \u003cp\u003e11.3 Model Transformation, 577\u003c\/p\u003e \u003cp\u003e11.4 Kalman Filter and Smoothing, 591\u003c\/p\u003e \u003cp\u003e11.5 Missing Values, 600\u003c\/p\u003e \u003cp\u003e11.6 Forecasting, 601\u003c\/p\u003e \u003cp\u003e11.7 Application, 602\u003c\/p\u003e \u003cp\u003e\u003cb\u003e12 Markov Chain Monte Carlo Methods with Applications 613\u003c\/b\u003e\u003c\/p\u003e \u003cp\u003e12.1 Markov Chain Simulation, 614\u003c\/p\u003e \u003cp\u003e12.2 Gibbs Sampling, 615\u003c\/p\u003e \u003cp\u003e12.3 Bayesian Inference, 617\u003c\/p\u003e \u003cp\u003e12.4 Alternative Algorithms, 622\u003c\/p\u003e \u003cp\u003e12.5 Linear Regression with Time Series Errors, 624\u003c\/p\u003e \u003cp\u003e12.6 Missing Values and Outliers, 628\u003c\/p\u003e \u003cp\u003e12.7 Stochastic Volatility Models, 636\u003c\/p\u003e \u003cp\u003e12.8 New Approach to SV Estimation, 649\u003c\/p\u003e \u003cp\u003e12.9 Markov Switching Models, 660\u003c\/p\u003e \u003cp\u003e12.10 Forecasting, 666\u003c\/p\u003e \u003cp\u003e12.11 Other Applications, 669\u003c\/p\u003e \u003cp\u003eExercises, 670\u003c\/p\u003e \u003cp\u003eReferences, 671\u003c\/p\u003e \u003cp\u003eIndex 673\u003c\/p\u003e","brand":"John Wiley \u0026 Sons Inc","offers":[{"title":"Default Title","offer_id":49402329104727,"sku":"9780470414354","price":112.46,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0817\/1739\/5799\/files\/9780470414354.jpg?v=1730480083","url":"https:\/\/bookcurl.com\/products\/analysis-of-financial-time-series-9780470414354","provider":"Book Curl","version":"1.0","type":"link"}