Tuesday, April 16, 2013

Analysis of Financial Time Series 3rd Edition, Ruey S. Tsay

Analysis of Financial Time Series 3rd Edition PDF Download Ebook. Ruey S. Tsay 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 series, the return series of multiple assets and Bayesian inference in finance methods. Key features include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets.

This text utilizes the freely available R software package to explore empirical financial data and illustrate related computation and analyses using real-world examples. Retaining the fundamental and hands-on style of its predecessor, this new edition continues to serve as the cornerstone for understanding the important statistical methods and techniques for working with financial data.

The latest developments in financial econometrics are explored in-depth, such as realized volatility, volatility with skew innovations, conditional value at risk, statistical arbitrage, and applications of duration and dynamic-correlation models. The use of both R and S-PLUS software with the book's numerous examples and exercises ensures that readers can reproduce the results shown in the book and apply the detailed steps and procedures to their own work.

New and updated exercises throughout provide opportunities to test comprehension of the presented material, and a related Web site houses additional data sets and related software programs. The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these series and gain experience in financial applications of various econometric methods.

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