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Analysis of Financial Time Series, 3rd Edition

ISBN: 978-0-470-41435-4
Hardcover
720 pages
August 2010
List Price: US $156.00
Government Price: US $103.00
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Analysis of Financial Time Series, 3rd Edition (0470414359) cover image
This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 15-20 days delivery time. The book is not returnable.

  • The new edition includes new developments in financial econometrics such as realized volatility, bi-power variation, credit risk management, default probabilities, pair trading, and dynamic factor models, among others.
  • Empirical data sets have been updated and expanded throughout.
  • R has replaced S-Plus so as to make the book less dependent on commercial software.
  • User comments have been taken into serious consideration resulting in a reorganization of various sections and content for ease of understanding and the correction of minor errors.
  • As in previous editions, algebraic derivatives have been kept to a minimum and the balance between theory and application is emphasized.
  • There are extensive sets of exercises that reinforce the content. Abundant examples are spread throughout. References have been added and updated where applicable.

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