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Analysis of Financial Time Series
by Ruey S. Tsay
Provides a comprehensive introduction to financial econometric models and their applications in modeling and predicting financial time series data. This title helps readers master key aspects of financial time series, including volatility modeling, neural network applications, and econometric modeling via computation-intensive methods.
Hardcover, 605 pages
Published August 1st 2005 by Wiley-Interscience
(first published October 15th 2001)
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Excellent introduction to not only time series but also contains good information on stochastic calculus and statistical concepts. The author is adept at communicating the ideas and the mathematics clearly and logically. I'm looking forward to trying out the R programs included in the book.