Essentials of Time Series for Financial Applications cover image

Essentials of Time Series for Financial Applications

By Massimo Guidolin, Manuela Pedio
pdf
Format
2018
Year
English
Language
Academic Press
Publisher

Summary

<p><i>Essentials of Time Series for Financial Applications</i> serves as an agile reference for upper level students and practitioners who desire a formal, easy-to-follow introduction to the most important time series 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.<i> </i>The examples either directly exploit the tools that EViews makes available or use programs that by employing EViews implement specific topics or techniques.<i> </i>The book balances a formal framework with as few proofs as possible against many examples that support its central ideas. Boxes are used throughout to remind readers of technical aspects and definitions and to present examples in a compact fashion, with full details (workout files) available in an on-line appendix. The more advanced chapters provide discussion sections that refer to more advanced textbooks or detailed proofs. </p><ul><li>Provides practical, hands-on examples in time-series econometrics</li><li>Presents a more application-oriented, less technical book on financial econometrics</li><li>Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction</li><li>Features examples worked out in EViews (9 or higher)</li></ul>

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