Book Description
Gain the statistical tools and techniques you need to understand today's financial markets with the Second Edition of this critically acclaimed book.
Youll find a comprehensive and systematic introduction to financial econometric models and their applications in modeling and predicting financial time series data. This edition continues to emphasize empirical financial data and focuses on real-world examples. Youll master key aspects of financial time series, including volatility modeling, neural network applications, market microstructure and high-frequency financial data, continuous-time models and Ito's Lemma, Value at Risk, multiple returns analysis, financial factor models, and econometric modeling via computation-intensive methods.
This is an ideal textbook for MBA students and a key reference for researchers and professionals in business and finance. Order your copy today.
Download Description
Analysis of Financial Time Series, Second Edition provides a comprehensive and systematic introduction to current financial econometric models and their applications to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods.
Customer Reviews:
Excellent and detailed reference.......2007-05-03
The coverage of the topic is broad and deep. It is one of the few introductory books that devotes some space to transfer function modeling and does so intelligibly.
A must have for the novice as well as those more familiar with the topic that need a solid reference.
The best for Masters level, great all-around.......2007-02-12
This text is absolutely perfect for Masters students learning financial econometrics. There is a little theory, clear explanations, and quite a few real world examples. (I don't think any text would tell the reader what model to use when, because that's application-specific.) It assumes some knowledge of finance and basic econometrics/statistics, which is fair enough. To get more theory, Hamilton (1994) remains the authority, and Campbell, Lo, MacKinlay (1997) is a great introduction for PhD students, and generally an ideal companion volume to this one.
Excellent reference!.......2006-11-05
This book is an excellent toolbox for anyove dealing in the field of financial engineering, however, as a real toolbox, the author doesn't explain the exact use of all tools and how to interpret the results. This is why this book is for advanced users who need a well documented reference but it is not very suitable for beginners in the field. The Splus code is welcome.
Broad coverage, but not for the faint-hearted.......2006-07-05
Written by a University of Chicago professor, this book comprehensively covers times series topics relative to investment and trading-oriented finance (i.e., Wall Street money-making machines). Treatment is generally clear and thorough, but an advanced math and stat background is an absolute prerequisite for understanding the materials.
S-Plus/R code is given, but strangely, there is very little on *why* and
*when* one uses each of the techniques. Under what cirmcustances should I use or not use GARCH? What exactly is PCA good for in real-world applications? These important questions are not answered, in other words, you don't get a sense of the real-world context for these topics.
Best textbook I have ever read .......2005-09-19
First of all, it is well written in a very practical point of view. The whole book is aimed fullly to real financial data(appended in the author's web). People can gain not only the well-explained theories but the hand-on experience with data analysis using SPLUS or any other package.
Secondly, the author is a real expert in this field and has been publishing lots of nice work. All models in the book are clearly illustrated and commented.
Thirdly, it covers a lot of topics in analysis of FT. Reader can learn almost all the valuable things in this field from this book.
If anyone wanna truly learn this book, she/he has to sit down and plays some real data on computer. I think this is the best way and the only way to use this book.
Customer Reviews:
Excellent.......2007-02-25
Really good advanced Econometrics Text. Anyone with a basic background in statistics, econometrics and matrix algebra will benefit greatly.
Not an easy book.......2006-12-19
Be warned. If you are buying this book for your first class in graduate-level econometrics, I suggest you also look around for another book or two to give you a different (easier) take on this material.
Encylopedic Treatment of Econometrics.......2005-08-21
If you have taken a course in econometrics, this is one of the best econometrics references that you can have on your bookshelf. There is ample discussion on linear regression models and all the required concepts from mathematical statistics that are needed. It just hits on time series and panel data, but clearly those are topics for two different books altogether. This book gets updated frequently and the format is reorganized to make things easier to understand. However, some times the reorganization does not work for the best.
Good book for graduate students.......2005-08-21
This is a good advanced book in econometrics. I would definitely not recommend it to undergrad students unless they are really comfortable with matrix algebra and statistics. It is not an introductory book, but, if the reader has already taken some econometrics courses and needs a more advanced text, this book is very useful, especially for graduate students. It is particularly good at explaining concepts in a way that slightly easier books do not. I use Greene's book as a reference and I have personally contacted William Greene to ask him some questions and he is very friendly and willing to help. I would only suggest using another book for understanding time series since Greene's coverage on that is not great.
not what was promised by the seller.......2005-07-05
The book was advertised with CD, i received no CD in it. When i contacted abebook, they send me e-mail that i have to complain to amazon.
Book Description
The last decade has brought dramatic changes in the way that researchers analyze economic and financial time series. This book synthesizes these recent advances and makes them accessible to first-year graduate students. James Hamilton provides the first adequate text-book treatments of important innovations such as vector autoregressions, generalized method of moments, the economic and statistical consequences of unit roots, time-varying variances, and nonlinear time series models. In addition, he presents basic tools for analyzing dynamic systems (including linear representations, autocovariance generating functions, spectral analysis, and the Kalman filter) in a way that integrates economic theory with the practical difficulties of analyzing and interpreting real-world data. Time Series Analysis fills an important need for a textbook that integrates economic theory, econometrics, and new results.
The book is intended to provide students and researchers with a self-contained survey of time series analysis. It starts from first principles and should be readily accessible to any beginning graduate student, while it is also intended to serve as a reference book for researchers.
Customer Reviews:
Excellent book in time series.......2007-06-29
I don't think there is another book out ther that would outperform this book in time series econometrics. A must have if you are a graduate student in economics.
No complaints. .......2007-02-14
No complaints. I received the book before deadline and book is same as descrition. 100% recomended seller
Absolutely Excellent (for what it is).......2007-02-06
Hamilton is often dubbed, "too hard to understand." That may be true, but actually it seems to be much more reasonable and readable than other econometrics texts I have attempted to read.
I would definitely not start out into econometrics with this book though. You probably will not be able to appreciate how good this book is until you have tried to read something as atrocious as Greene.
As is typical with almost every upper level econometrics book, it assumes you have a wide mathematical and statistical knowledge base that you may or may not have. I would not recommend it as a beginning graduate econometrics book but it is a great reintroduction to time series methods. I will say that I haven't found a single book yet in intermediate econometrics that I felt was written clearly or concisely.
Still, overall, this has been by far the best among the worst and I would highly recommend reading it to anyone who is beginning to study time series econometrics in some detail.
Awesome book for TS.......2006-03-06
If you are thinking of mastering TS this is the book to start with. Do not get intimidated however with all the symbols and notations, the author does a pretty good job explaining each and every equation. A seperate book is needed for application eg RATs handbook by Enders.
A review of Time Series Analysis.......2005-08-05
The book provides a good overview of the analysis of time series and it also gives a good treatise of the economitric background of the use of estimation methods.
Book Description
This graduate text provides an intuitive but rigorous treatment of contemporary methods used in microeconometric research. The book makes clear that applied microeconometrics is about the estimation of marginal and treatment effects, and that parametric estimation is simply a means to this end. It also clarifies the distinction between causality and statistical association.
The book focuses specifically on cross section and panel data methods. Population assumptions are stated separately from sampling assumptions, leading to simple statements as well as to important insights. The unified approach to linear and nonlinear models and to cross section and panel data enables straightforward coverage of more advanced methods. The numerous end-of-chapter problems are an important component of the book. Some problems contain important points not fully described in the text, and others cover new ideas that can be analyzed using tools presented in the current and previous chapters. Several problems require the use of the data sets located at the author's website.
Customer Reviews:
Everything people say is true, but..........2007-09-05
This book has no graphs - not one. As long there are no graphs or figures, this work will remain incomplete.
The missing link for cross section, panel data and program evaluation.......2007-06-02
This book fills a real gap for those who are interested in things like ATE, ATET and topics related to impact evaluation that are only talked about now in research papers. The explanations are very very clear and they walk you through the thinking process by which the different methods were developed. Of course, it has the traditional coverage of panel data and cross section but with the clarity that Wooldridge always delivers on his books. For all that, this is a perfect addition to your econometric libraries as it covers topics that are not discussed in traditional and introductory econometric books.
A comprehensive survey.......2007-05-12
This book provides an excellent overview about state-of-the-art methodologies in econometrics. Instead of other textbooks it stresses more on conditionals and explains potential problems with underlying assumptions in more detail. As I find it sometimes hard to orientate myself, I give 4 stars.
Very good coverage on cross-sectional, but not enough of panel data.......2006-08-18
This book does an excellent job in covering cross-sectional and microeconometric models (Stata codes for all examples in the book are available from UCLA's webside). However, the exposure to panel data is limited. For a theoretical overview of panel data econometrics, I'd recommend Hsiao and Baltagi. For applied work, Edward Frees wrote a good book, although his book is more from the social science perspective (SAS and Stata codes are provided).
The best? Not for me (and everyone I know)........2005-09-30
Clearly this product is overrated. In my opinion the book is a complete mess, with definitions, propositions and theorems mixed with the main text and not clearly evidenced from it.
It's funny, because the book uses a panoplia of bolds, italics, etc in the main text (well, there is only main text here) which I dislike and think is unnecessary, and then do not use it to evidence the important results. As a result I think this is probably the worst book that I can remember of for reference.
There are better books and it's almost impossible to get one worse than this one.
Book Description
In recent years, there has been growing interest in the development and application of quantitative statistical methods to study choices made by individuals. This primer provides an introduction to the main techniques of choice analysis and also includes details on data collection and preparation, model estimation and interpretation and the design of choice experiments. A companion website offers practice data sets and software to apply modeling and data skills presented in the book.
Customer Reviews:
Everything you need to learn to carry out a choice model.......2005-10-17
This book is massive, and hence the term "primer" may be a little misleading. But if you really want to understand how to model choice data for a range of models, the book is outstanding. Other books focus more on the econometrics of the models, which are pivotal to know. But this book builds upon that by walking you through a series of increasingly-complex models, allowing you to understand why you need to perform particular modeling tasks.
The book focuses on NLogit software, but once you understand how to actually estimate choice models utilizing software, the skills can be easily carried into other software programs. However, without such experience, the other books available may fall short in enabling you to estimate choice models. Indeed, this was the case for me -- I understood the econometrics of the models, but had difficulty estimating complex models using software, simply beacuse I was uncomfortable with the syntax.
Hensher et al. removes this obstacle by giving the reader thorough training in both understanding what a given set of choice data may represent (e.g., observations from a particular choice experiment), and how to physically estimate models. The increase in confidence I received from working through the exercises in the book is why I rate the book so highly. Not only are the econometric concepts explained, but the nuts and bolts of model estimation are revealed, and that made all the difference.
An ambiguous oriented book.......2005-10-05
The whole book serves as a software (NLogit) manual. If you already know about the discrete choice analysis, you might be able to find out the messages that the authors try to convey. And it contains barely new information, so it doesn't help you anyway. But if you are new to this area, this is not the good book for you to start.
The book is extremely verbose and the ideas are hidden behind lines and ill-presented. It turned out that it's very difficult to comprehend the essence or even sense of the choice methods from this book. The best one can get is becoming a software user of the authors' own program.
Besides, the software, Nlogit, is not user-friendly and can't serve as a mainsteam tool.
Book Description
For courses in Cost-Benefit Analysis, taught in Economics Departments, Public Policy Departments, and Public Administration Departments. Also ideal forpracticing policy analysts andpublic managers.This authoritative, market leading book is distinct for it's consistent application of a nine-step framework for conducting or interpreting a cost-benefit analysis.
Customer Reviews:
Not the most useful, but comprehensive........2007-09-09
This book by Anthony Boardman et al. is a heavy read. It is not a book you would want to read from A to Z in order to understand Cost-Benefit Analysis or CBA, but it is one of the better reference books I have found. The only downside I found was a very theoretical approach and lack of really useful examples. Nevertheless, not one element of CBA seems to be left untouched. This book is a valuable reference to anyone relying on CBA as a decision-making tool, because it will assist you in understanding what it is that you are analyzing when applying CBA.
Wonderful.......2007-02-22
I have received in the data they promised me, very quick, even I received it early in the morning!!!!!!!
Even the prof had a difficult time getting through it.......2006-12-31
I had to buy this book for a class I took on Cost-benefit analysis (which is probably why you're thinking of buying it, too). The contents of my review won't have much influence on your choice to purchase it, as that decision has already been made by your prof. But I think I owe you a few warnings.
Some of the chapters are well-written (the chapters on discounting and compounding and time value), but most of them are confusing (the chapters on option value and the section about the optimal growth discount model). Even our professor, who has a BA in econ from Yale and a PhD in econ from Berkeley, had trouble getting through these sections. Some of the homework problems at the ends of the chapters ask about material that the text never fully explains. In a few instances, the book reminds you why you hate integral calculus.
So although I can't stop you from buying this, I can at least warn you that your trip through its pages will be nothing like a trip through the beautiful mountains on the cover. Unless you were planning on climbing the mountains. In January. Without GPS or crampons.
Straightforward.......2003-01-25
The authors have put approached this topic in a step by step way. It explains important background topics as well. I bought this book for a class, so I really didn't have much choice in the matter. I expect that most buyers will do so for the same reason. To them, I say "don't worry about it," this won't hurt as much as you think." If you are considering this for pleasure reading, well, don't let me stop you.
Complete, Comprehensive, but lengthy.......2003-01-17
Probably one of the few only books available that talks about CBA. Lacks in real life examples, otherwise a good read for grasping basic concepts and tools.
Average customer rating:
- modelling financial instruments
- good analysis on data error.
- From the experts in the field
- For the new millenium...that's what we need.
- More Than An Introduction
|
An Introduction to High-Frequency Finance
Ramazan Gençay ,
Michel Dacorogna ,
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Similar Items:
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Analysis of Financial Time Series, 2nd Edition (Wiley Series in Probability and Statistics)
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Market Models: A Guide to Financial Data Analysis
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Trading and Exchanges: Market Microstructure for Practitioners
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An Introduction to Wavelets and Other Filtering Methods in Finance and Economics
ASIN: 0122796713 |
Book Description
Liquid markets generate hundreds or thousands of ticks (the minimum change in price a security can have, either up or down) every business day. Data vendors such as Reuters transmit more than 275,000 prices per day for foreign exchange spot rates alone. Thus, high-frequency data can be a fundamental object of study, as traders make decisions by observing high-frequency or tick-by-tick data. Yet most studies published in financial literature deal with low frequency, regularly spaced data. For a variety of reasons, high-frequency data are becoming a way for understanding market microstructure. This book discusses the best mathematical models and tools for dealing with such vast amounts of data.
This book provides a framework for the analysis, modeling, and inference of high frequency financial time series. With particular emphasis on foreign exchange markets, as well as currency, interest rate, and bond futures markets, this unified view of high frequency time series methods investigates the price formation process and concludes by reviewing techniques for constructing systematic trading models for financial assets.
Customer Reviews:
modelling financial instruments.......2007-03-08
The book gives an indepth statistical modelling of important financial events, that have time dependency. It is suitable for the financial analyst who wants a semi-empirical approach.
For some quantities, like foreign exchange data, there is a comparison between fully empirical results and various theoretical models. What is investigated are such behaviours like scaling laws, for the absolute returns as a function of frequency. Here, it has been empirically observed that scalings do exist for FX rates.
Whenever possible, the book gives rigorous results, often encapsulated in theorems relating to distributions of independently distributed random variables. The reader should have a background in statistics, with the equivalent of several years of undergraduate courses.
good analysis on data error........2007-01-16
Many type of error the book list are frequently occur in FX data.
This book give good guide on how to filter them.
From the experts in the field.......2002-06-06
Michel Dacorogna and the team at the former Olsen & Associates are well-known experts in the field of foreign exchange rate data analysis, and their book provides us with a vast, useful source of information. Unfortunately for students and other beginners, the book is written like a compilation of papers and review articles, the opposite of pedagogical, and with an awful choice of 'computerese' notation (MA(t,n)=sum(EMA(t',k)... etc) that makes Boudhaud-Potters look easy in comparison. More to the point, even their noncomputerese notation is difficult to follow. I hope for a very different second edition written pedagogically for students of this growing and important field. On the positive side, data analyses are performed using logarithmic returns, not price increments. Workers in the field who consult this text will find it helpful.
For the new millenium...that's what we need........2001-07-23
The book covers a wide range of topics related to high-frequency data in Finance. There is a very detailed approach to tackle a huge amount of data and to deal with its based stylized facts. The book triggers the reader's desire to update his knowledge in the field of finance.
More Than An Introduction.......2001-05-28
This one of the few books on high frequency finance is a most welcome to the literature. The book is useful not only for people who are new to the subject but also for researchers in the field since it is a most uniform treatment of many topics. From adaptive data cleaning (chapter 4) to intraday and weekly seasonality (chapter 6) and real time trading models (chapter 11), it covers a broad range of topics specific to high frequency financial time series analysis. Chapters on volatility modeling (Chapter 8), forecasting (chapter 9) and correlation and multivariate risk (chapter 10) are enlightening especially for risk exposure analysis and risk management purposes. Finally, the the extensive bibliography is a precious source for those who would like to explore certain topics in detail. I highly recommend it for practitioners as well as researchers in the field.
Customer Reviews:
All you need for basic regression and such.......2007-02-16
This is a well organized text that is great to have on the shelf for making sense of your statistical output and for thinking about how to approach your research question. It's well written and neither too simple or impenetrable. A little short on statistical tables and diagnostics as compared to some of its peers.
Book Description
APPLIED REGRESSION ANALYSIS applies regression to real data and examples while employing commercial statistical and spreadsheet software. Covering the core regression topics as well as optional topics including ANOVA, Time Series Forecasting, and Discriminant Analysis, the text emphasizes the importance of understanding the assumptions of the regression model, knowing how to validate a selected model for these assumptions, knowing when and how regression might be useful in a business setting, and understanding and interpreting output from statistical packages and spreadsheets.
Customer Reviews:
Great Minitab Resource.......2007-05-15
Dr. Dielman was a professor of mine. The book is well organized and useful for all people on all levels.
Excellent.......2006-12-26
For my class, the professor assigned Kleinbaum et al's textbook rather than this one. As I mentioned in my review for that book, it was so confusing and poorly organized. Luckily, I found this book in the library and used it instead and ended up a lot less confused in class than my classmates who were trying to understand the Kleinbaum book. Dielman's book is very well organized and laid out. It doesn't have colorful bells and whistles since it's a fairly upper level book, but it does have a very user-friendly layout. Furthermore, the formulas are never presented without an accompanying explanation in plain English and examples of how and when to use them. Another thing I really like about this book is that it gives thorough directions on how to do a lot of the analyses on some common statistical packages. Many of the instructions are accompanied by screenshots. They're at the end of each chapter rather than interspersed in the text, which makes them easy to find. This is actually becoming a great SAS manual for me.
For anyone struggling with the Kleinbaum book, or for any instructor considering using the Kleinbaum book, I would highly recommend this one instead.
A Cross-platform textbook.......2006-05-15
I have bought Dr. Dielman's Applied Regression 4e textbook in Taiwan) for preparing my MBA thesis regarding the interaction effects. Given the widespread use of commercially available packages, this book provided considerately coverage on ALL computer packages about the field of regression work.
Book Description
This book is aimed at the reader who wishes to gain a working knowledge of time series and forecasting methods as applied in economics, engineering, and the natural and social sciences. The book assumes knowledge only of basic calculus, matrix algebra and elementary statistics. This second edition contains detailed instructions on the use of the new totally windows-based computer package ITSM2000, the student version of which is included with the text. Expanded treatments are also given of several topics treated only briefly in the first edition. These include regression with time series errors, which plays an important role in forecasting and inference, and ARCH and GARCH models, which are widely used for the modeling of financial time series. These models can be fitted using the new version of ITSM. The core of the book covers stationary processes, ARMA and ARIMA processes, multivariate time series and state-space models, with an optional chapter on spectral analysis. Additional topics include the Burg and Hannan-Rissanen algorithms, unit roots, the EM algorithm, structural models, generalized state-space models with applications to time series of count data, exponential smoothing, the Holt-Winters and ARAR forecasting algorithms, transfer function models and intervention analysis. Brief introductions are also given to cointegration and to non-linear, continuous-time and long-memory models.
Customer Reviews:
good basic intro.......2006-11-10
A decent basic introduction covering a lot of topics. It's much more accessible for learning the subject for the first time then many other books which pile on the mathematical notation and obscure the actual meaning of things. The accompanying CD is very nice, although it gets annoying very fast that you're restricted to very small dataset sizes---but it does help in learning. The only two things that are somewhat of a problem with this book are 1) many times, rather than clearly stating "here's the algorithm you need to implement", you are referred to 3 or 4 other sections of the book for pieces of the algorithm, often without a clear explanation of exactly how that earlier section is supposed to be worked into the current desired algorithm and 2) there aren't a lot of practical insights as to how to actually initialize many of the algorithms (everything is great if you already know all the parameters in advance but starting from scratch with just raw data isn't dealt with I think as fully as would be useful). All in all, though, the book is helpful and, as I said, very good for learning the essential concepts for the first time.
When is an Introduction not an Introduction?.......2006-11-05
In the process of building a website targeted to those good folks that are striving valiantly to make a living through Internet marketing, you might think that an early objective would be to assemble a library of good reference material. After all, if you are planning on providing sensible information to your readers, then you should have a few good text books on hand to refer to when you need to be sure that some little tidbit of information might actually work. Well, at least I did. So, I have been scouring the Internet for textbook on the subject of Forecasting, which we share a common interest in. I have purchased a few and, for the most part, they are really quite informative and will be useful when the time comes. There is, however, an exception to this.
One book I purchased bears the title "Introduction to Time Series and Forecasting, Brockwell, Peter J and Richard A Davis". Being an intelligent sort of chap, I naturally took the word "Introduction" to mean just that. You know, you've been introduced to people before and becoming introduced usually means that 1. You look at the face. 2. You grasp their hand and shake firmly and 3. You exchange pleasantries, such as "Hello, it's nice to meet you".
Now, I never blame the person making the introduction if the relationship doesn't work out. After all, it's not their fault that two people hopefully sharing a common interest (after all, why bother making an introduction?) aren't all that compatible. There are likely to be many reasons for the incompatibility, the first of which could be that people travel in different circles and your circle isn't ever going to be part of their circle. Sort of an exclusionary relationship, you might say. And, not to be overly judgmental of others, of course, there may be plenty of good reasons for that. If everyone existed in one social circle, after all, the world would be beyond boring.
Anyways, the text book is a wonderful creation, that is, if you're a post-graduate or doctoral candidate. Upon opening the cover, expecting to be warmly introduced, I was rather amazed at the depth of equations and formulas gracing practically every page. I felt intimidated immediately. Remember the movie "The Ring"? This had to be rocket science, or more correctly, forecasting science at its most extreme! Wow! I should have really paid more attention during my statistics classes. So, I quickly closed the cover and tried to get a refund from the seller. Note the word Tried here. They didn't want it back either.
The good Post-Grand and PhD. candidates of the science of forecasting probably don't need an "Introduction" to Time Series and Forecasting. Next time I buy a book, I think I'll look for something with "Sandbox" in the title.
May all your Forecasts be Good Forecasts at [...]
Awesome.......2006-08-04
this book is excellent because it provides us with many examples and detailed explanations.
Not sure if it is introductory.......2005-12-24
I think the book is not written in a very organized way. It's not a book for picking up time series quickly. It's saturated with information, which I'm not sure if it's necessary for implementation. I have no problem following the math, however, if I want to pick up something and implement it within a day or two, the book is a bit harder to digest. Wouldn't think this is an undergraduate course book as it covers convergence in probability or mean-squared, which I learnt in PhD courses, not even master level.
Great book for a great price.......2004-02-12
This is one of those books that you can't find much cons to it. The book is inexpensive, and it's unbelievably lightweight. The material is rich, and yet easy to understand. The author actually brings you step by step from elementary to theorectical proofs.
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