Analysis of financial time series. 2nd ed. (English) Zbl 1086.91054

Tsay, Ruey S.

Wiley Series in Probability and Statistics. Hoboken, NJ: John Wiley & Sons (ISBN 0-471-69074-0/hbk; 978-0-471-74619-5/ebook). xxi, 605 p. (2005).

This is the second extended and revised edition of [Analysis of financial time series. (English) Chichester: Wiley (2002; Zbl 1037.91080)]. The previous parts of this book is substantially revised to include S-Plus commands and illustration. Many empirical examples are updated so that they include the most recent data. The book content is enlarged by including consistent covariance estimation under heteroscedastity and serial correlation, alternative approaches to volatility modeling, financial factor models, Kalman filtering, and estimation of stochastic diffusion models. The book therefore is extended to 12 chapters. The factor models are discussed include macroeconomic, fundamental and statistical factor models. They are simple and useful tools for the portfolio analysis. The state-space model and Kalman filter are added to demonstrate their applicability in finance. They are used to estimate stochastic volatility models under the Markov chain Monte Carlo framework. The estimation also uses the technique of forward filtering and backward sampling. Many recent developments and results of financial econometric are presented. Real financial data are used to demonstrate the application of the models and methods discussed. The reviewed book can be used not only as a handbook for postgraduate students but also as a useful reference for researches and practitioners.

Reviewer: Krzysztof Piasecki (Poznań)

MSC:

91B84	Economic time series analysis
91B28	Finance etc. (MSC2000)
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)
91B26	Auctions, bargaining, bidding and selling, and other market models
91B30	Risk theory, insurance (MSC2010)

Keywords:

Time series; Finance; Var, VARMA; Options; Difusion; Extreme value; Multiple assets; Heavy tailed distribution; Co-integration; Volatility; MCMC; Financial factor model; Portfolio analysis; Kalman filter

Software:

FinTS; S-PLUS