Essentials of Time Series for Financial Applications serves as an agile reference for upper-level students and practitioners who desires a formal, easy-to-follow introduction to the most important time serie methods applied in financial applications (pricing, asset management, quant strategies, and risk management). Real-life data and examples developed with EViews illustrate the links between the formal apparatus and the applications. The examples either directly exploit the tools that EViews makes available or use programs that implement specific topics ot techniques. The book balances a formal framework with as fews proofs as possible against many examples that support its central ideas. Boxes are used througout to remind readers of technical aspects and definitions and to present examples in a compact fashion. The more sophisticated chapters provide discussion sections that refer to more advanced textbooks or detailed proofs.
The website provides supplementary online material, the datasets used to generate the examples and number of tutorials that show how the results can be replicated in Eviews.
The tutorials can be found on the Youtube channel of the website.
Key Features
- Provides practical, hands-on examples in time-series econometrics
- Presents a more application-oriented, less technical book on financial econometrics
- Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction
- Features examples worked out in EViews (9 or higher)
Readership
MSc. students in Finance, Quantitative Methods (who specialize in finance), Mathematical Finance, and Engineering. Ph.D. students who need an introductory back-up to applied courses (such as Financial Econometrics graduate courses). Practitioners in derivative pricing, trading, and quantitative strategies. Asset managers, risk managers, and research analysts who focus on forecasting market quantities.
Essentials of Time Series for Financial Applications 