Product Description

Elements of Financial Time Series fills a gap in the market in the area of financial time series analysis by giving both conceptual and practical illustrations. Examples and discussions in the later chapters of the book make recent developments in time series more accessible. Examples from finance are maximized as much as possible throughout the book.
* Full set of exercises is displayed at the end of each chapter.
* First seven chapters cover standard topics in time series at a high-intensity level.
* Recent and timely developments in nonstandard time series techniques are illustrated with real finance examples in detail.
* Examples are systemically illustrated with S-plus with codes and data available on an associated Web site.

Product Details

• Amazon Sales Rank: #1013633 in Books
• Published on: 2002-04-18
• Original language: English
• Number of items: 1
• Binding: Hardcover
• 224 pages

Review
"...developed for a quick course...the goal is to balance theoretical background with examples of applications." -- Reference & Research Book News, August 2002

"...polishes off all the usual topics in introductory time series analysis in a mere 89 pages..." -- Technometrics, Vol. 44, No. 4, November 2002

"...polishes off all the usual topics in introductory time series analysis in a mere 89 pages..." (Technometrics, Vol. 44, No. 4, November 2002)

"...developed for a quick course...the goal is to balance theoretical background with examples of applications." (Reference & Research Book News, August 2002)

"...provides a gateway to higher things..." (Short Book Reviews, December 2002)

"...should be useful for students who are studying methods of time series analysis..." (Mathematical Reviews, 2003e)

"...should be useful for students who are studying methods of time series analysis..." -- Mathematical Reviews, 2003e

From the Back Cover
Expert coverage of time series techniques for financial applications

Time Series is designed to help readers grasp the conceptual underpinnings of time series modeling in order to gain a deeper understanding of the ever-changing dynamics of the financial world. It covers theory and application equally for readers from both financial and mathematical backgrounds.

The book offers succinct coverage of standard topics in statistical time series–such as forecasting and spectral analysis–in a manner that is both technical and conceptual. Recent developments in nonstandard time series techniques are discussed and illustrated in detail with real financial examples. These techniques include:

• Nonstationarity
• Heteroskedasticity
• Multivariate time series
• State space modeling and stochastic volatility
• Multivariate GARCH
• Cointegrations and common trends

All examples are systematically illustrated with S-Plus® and highlight the relevance of time series in financial applications. Detailed analyses and explanations for the S-Plus commands, as well as challenging end-of-chapter exercises, are also provided.

About the Author
NGAI HANG CHAN, PhD, is Professor of Statistics and Director of the Risk Management Science Program at the Chinese University of Hong Kong and Professor of Statistics at Carnegie Mellon University.

Customer Reviews

Good succinct book
Provides a good review of all topics form a statistical perspective. Also most of the advanced topics are covered. Make sure to read the preface. This is not a book that's intended for novices. The author, who happens to be a famous professor, says this is either for people with enough quant. trading background or people that have PhDs in other quant fields. This is a book that was used for a quant finance course in TS @ CMU. If you are motivated, you can learn a lot form it.

study ito's lemma before jumping into finance
the author seems not understanding ito's lemma. the wrong form of the derivative
approximation was used in the book. (i.e. f(x) ~ g(x) ==> f'(x) ~ g'(x))