Analysis of Financial Time Series

Analysis of Financial Time Series

<b>Fundamental topics and new methods in time series analysis</b> <p><b><i>Analysis of Financial Time Series</i></b> 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.</p> <p>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:</p> <ul> <li>Value at Risk (VaR)</li> <li>High-frequency financial data analysis</li> <li>Markov Chain Monte Carlo (MCMC) methods</li> <li>Derivative pricing using jump diffusion with closed-form formulas</li> <li>VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process</li> <li>Multivariate volatility models with time-varying correlations</li> </ul> <p>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.</p>