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

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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.