Analysis of financial time series.

*(English)*Zbl 1037.91080
Chichester: Wiley (ISBN 0-471-41544-8/hbk). xii, 448 p. (2002).

The book covers classical and new topics of financial econometrics. The author starts with basic concepts, characteristics and examples of financial time series. Then the theory of univariate time series is considered. In this part of the book linear time series models, conditional heteroscedasticity, various nonlinear models, continuous-time diffusion models, Black-Scholes option pricing formulas, extreme value theory, VaR and heavy-tailed distributions are considered. In the second part of the book models for multiple assets are studied. Correspondent chapters are devoted to VARMA, co-integration and multivariate volatility models. Topics of reducing the complexity and dimensions are discussed. The last chapter is devoted to Monte Carlo Markov chain methods and the application to various financial problems. Many recent developments and results that are yet to appear in journals are presented. Real financial data are used throughout the book to demonstrate the application of the models and methods discussed. There are a lot of examples, exercises and references at each chapter. Style of presenting the material in the book without detailed mathematical and statistical derivation of formulas allows to provide broad coverage of many topics. That is why the book can be used not only as a text for MBA student but also as a useful reference for researches and practitioners.

Reviewer: Andrew Olenko (Kyïv)

##### MSC:

91B84 | Economic time series analysis |

91-01 | Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance |

62M10 | Time series, auto-correlation, regression, etc. in statistics (GARCH) |

91B28 | Finance etc. (MSC2000) |

91B26 | Auctions, bargaining, bidding and selling, and other market models |

91B30 | Risk theory, insurance (MSC2010) |