Analysis of Financial Time Series

Rating:
Summary: Statistician's favorite
Review: I had a detailed study of the whole book before finally deciding to buy in on web. As a statistician and a beginner on Math Finance, I would say this book deserves every penny I spent on it.

The author's intention to make it a reference book can be appreciated by both educators and practitioners. It starts with a couple of chapters on the ARIMA and the GARCH models. Little theoretic depth was explored yet the algorithms and the procedures for solution are emphasized. After that, the topic switches to the nonlinear time series modeling and high-freq data analysis. This part is, and will be, rather confusing to readers with less training in financial economics and theories are reluctantly clearly stated. What follows is a single chapter of so-called continuous time models and it is actually a sketch of the first few chapters of any mathematical finance textbook. Literally, this chapter is all about Black-Scholes and a little jump-diffusion model. The major reason why I called it a reference book is because it includes one chapter on VaR between the math finance chapter and the multi-variate time series models part. The author didn't say much more than that VaR is essentially some quantile calculation, which is fine in the statistical meaning. However, this description seems really "shallow" as compared with Jorion's book on VaR and risk management.

After all, I would give it a five star because its comprehensiveness and the author's effort to incorporate so many things in order to re-define the framework of financial time series analysis.


Rating:
Summary: Petition: please provide table of contents!
Review: I want to see the table of contents of this book. How can the author and the publisher expect people to buy this book without providing the table of the contents?...

Rating:
Summary: Analysis of Financial Time Series
Review: This book is awesome. It starts with bedrock concepts needed for analysis of financial data and it takes the student up to the most recent and important techniques used in the industry today. However, if one expects to fully utilize this text, one should have at least one semester of applied econometrics or some equivalent course in statistics and continuous probability, although it will be practical to study the two topics concurrently.

Rating:
Summary: Analysis of Financial Time Series
Review: This book is awesome. It starts with bedrock concepts needed for analysis of financial data and it takes the student up to the most recent and important techniques used in the industry today. However, if one expects to fully utilize this text, one should have at least one semester of applied econometrics or some equivalent course in statistics and continuous probability, although it will be practical to study the two topics concurrently.

Rating:
Summary: A very practical book
Review: This is not a reference book, and it's not about "big" theory either. It's pretty practical, and good for self study. You should have access to some econometric/statistical software (i.e. EViews, S-Plus, etc.) to fully understand this book.

Rating:
Summary: A very practical book
Review: This is not a reference book, and it's not about "big" theory either. It's pretty practical, and good for self study. You should have access to some econometric/statistical software (i.e. EViews, S-Plus, etc.) to fully understand this book.