Analysis of Financial Time Series

Ranked #38 in Econometrics

This book provides a broad, mature, 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 characteristics of financial time series data before covering three main topics: Analysis and application of univariate financial time seriesThe return series of multiple assetsBayesian inference in finance methods

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