Analysis of Financial Time Series (Wiley Series in Probability and Statistics) | 
 enlarge | Author: Ruey S. Tsay
Publisher: Wiley-Interscience
Category: Book
List Price: $127.50
Buy New: $62.52
You Save: $64.98 (51%)
New (29) Used (13) from $60.99
Avg. Customer Rating:  9 reviews
Sales Rank: 88116
Media: Hardcover
Edition: 2nd
Number Of Items: 1
Pages: 640
Shipping Weight (lbs): 2.2
Dimensions (in): 9.6 x 6.4 x 1.4
ISBN: 0471690740
Dewey Decimal Number: 332.0151955
EAN: 9780471690740
ASIN: 0471690740
Publication Date: August 30, 2005
Availability: Usually ships in 1-2 business days
Shipping: Expedited shipping available
Condition: New Book, Hardcover. Same Edition As Amazon's Description! Never Been Read! Buy Now!
|
| Editorial Reviews:
Product Description
Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book. Youll 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. Youll 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.
|
| Customer Reviews: Read 4 more reviews...
 good coverage February 22, 2008
25 out of 27 found this review helpful
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.
Excellent and detailed reference May 2, 2007
1 out of 1 found this review helpful
The coverage of the topic is broad and deep. It is one of the few introductory books that devotes some space to transfer function modeling and does so intelligibly.
A must have for the novice as well as those more familiar with the topic that need a solid reference.
The best for Masters level, great all-around February 11, 2007
2 out of 2 found this review helpful
This text is absolutely perfect for Masters students learning financial econometrics. There is a little theory, clear explanations, and quite a few real world examples. (I don't think any text would tell the reader what model to use when, because that's application-specific.) It assumes some knowledge of finance and basic econometrics/statistics, which is fair enough. To get more theory, Hamilton (1994) remains the authority, and Campbell, Lo, MacKinlay (1997) is a great introduction for PhD students, and generally an ideal companion volume to this one.
 Excellent reference! November 5, 2006
3 out of 3 found this review helpful
This book is an excellent toolbox for anyove dealing in the field of financial engineering, however, as a real toolbox, the author doesn't explain the exact use of all tools and how to interpret the results. This is why this book is for advanced users who need a well documented reference but it is not very suitable for beginners in the field. The Splus code is welcome.
 Broad coverage, but not for the faint-hearted July 5, 2006
28 out of 30 found this review helpful
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.
|
|
|
