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Analysis of Financial Time Series

4.31  ·  Rating Details ·  58 Ratings  ·  1 Review
Analysis of Financial Time Series, Second Edition provides a comprehensive 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. The author begins with basic cha ...more
Hardcover, 605 pages
Published August 1st 2005 by Wiley-Interscience (first published October 15th 2001)
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David
Apr 30, 2015 David rated it really liked it
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.
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