- Hardcover: 472 pages
- Publisher: Wiley-Blackwell (21 Dec 2001)
- Language English
- ISBN-10: 0471415448
- ISBN-13: 978-0471415442
- Product Dimensions: 24.1 x 16.4 x 2.7 cm
- Amazon Bestsellers Rank: 2,169,562 in Books (See Top 100 in Books)
- See Complete Table of Contents
Analysis of Financial Time Series
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Product Description
Review
“…in my view, this is the number one reference for a course on financial econometrics...” (Statistical Papers, Vol.45, No.4, October 2004)
“…covers classical and new topics of financial econometrics…lots of examples, exercises and references at each chapter…” (Zentralblatt Math, Vol.1037, No.12, 2004)
"A textbook for graduate students of business or of mathematics with a business orientation." (Reference & Research Book News, May 2002)
"...an introductory book intended to provide a comprehensive and systematic account of financial econometric models and their application to modeling and prediciont..." (Quarterly of Applied Mathematics, Vol. LX, No. 2, June 2002)
"...an insightful and timely text…compelling reading...I would strongly consider using this text.." (Journal of Financial Research, Fall 2002)
"Always looking for a newer and better book, I will certainly enjoy having Analysis of Financial Time Series as my new primary resource." (Technometrics, Vol. 44, No. 4, November 2002)
Zentralblatt Math, Vol.1037, No.12, 2004
"...covers classical and new topics of financial econometrics...lots of examples, exercises and references at each chapter..."
Inside This Book
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First Sentence
Financial time series analysis is concerned with theory and practice of asset valuation over time. Read the first page
Front Cover | Copyright | Table of Contents | Excerpt | Index
Financial time series analysis is concerned with theory and practice of asset valuation over time. Read the first page
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Front Cover | Copyright | Table of Contents | Excerpt | Index
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14 reviews
43 of 45 people found the following review helpful
Broad coverage, but not for the faint-hearted
5 July 2006
Format:Hardcover
Written by a University of Chicago professor, this book comprehensively covers times series topics relative to investment and trading-oriented finance (i.e., Wall Street money-making machines). Treatment is generally clear and thorough, but an advanced math and stat background is an absolute prerequisite for understanding the materials.
S-Plus/R code is given, but strangely, there is very little on *why* and
*when* one uses each of the techniques. Under what cirmcustances should I use or not use GARCH? What exactly is PCA good for in real-world applications? These important questions are not answered, in other words, you don't get a sense of the real-world context for these topics.
S-Plus/R code is given, but strangely, there is very little on *why* and
*when* one uses each of the techniques. Under what cirmcustances should I use or not use GARCH? What exactly is PCA good for in real-world applications? These important questions are not answered, in other words, you don't get a sense of the real-world context for these topics.
32 of 37 people found the following review helpful
good coverage
22 Feb 2008
Format:Hardcover
Professor Tsay is a student of the Wisconsin school of statisticians where he learned time series from Box and Tiao. He is an excellent lecturer and a good writer. I have attended one of the short courses he taught on time series. New models have been developed to deal with the special behavior of financial time series. Professor Tsay is always at the forefront of that research and teaches at Chicago in one of this country's top business schools. If I am correct George Tiao is also there at present.
This is the second edition of a popular text. Financial time series play an ever more important role in our lives during these turbulant economic times. Tsay cover the tradition Box-Jenkins models but these models are not always appropriate for financial data. So he also introduces the GARCH models and some nonlinear models. The book includes some models that I am not familiar with. I have done research in time series but never with financial data. There is some theory involving stochastic differential equations that explains some of the turbulant behavior of financial series. The text by J. Michael Steele provides thorough coverage to this theory.
Tsay also deals with the pesky problem of outliers. A very practical problem that is often ignored in other econometric texts. He also has a chapter on Bayesian approaches. Some computing in SPlus is also included in this revision of the text.
This is the second edition of a popular text. Financial time series play an ever more important role in our lives during these turbulant economic times. Tsay cover the tradition Box-Jenkins models but these models are not always appropriate for financial data. So he also introduces the GARCH models and some nonlinear models. The book includes some models that I am not familiar with. I have done research in time series but never with financial data. There is some theory involving stochastic differential equations that explains some of the turbulant behavior of financial series. The text by J. Michael Steele provides thorough coverage to this theory.
Tsay also deals with the pesky problem of outliers. A very practical problem that is often ignored in other econometric texts. He also has a chapter on Bayesian approaches. Some computing in SPlus is also included in this revision of the text.
28 of 32 people found the following review helpful
A very practical book
12 Jun 2002
Format:Hardcover
This is not a reference book, and it's not about "big" theory either. It's pretty practical, and good for self study. You should have access to some econometric/statistical software (i.e. EViews, S-Plus, etc.) to fully understand this book.
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