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内容説明
Gain the statistical tools and techniques you need to understand today’s financial markets with the Second Edition of this critically acclaimed book. You?ll 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. You?ll 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.
Book Description
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 analysis
* Markov Chain Monte Carlo (MCMC) methods
* Derivative pricing using jump diffusion with closed-form formulas
* VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process
* Multivariate 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.
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