This book provides a broad, mature, 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.<br/><br/><p>The author begins with basic characteristics of financial time series data before covering three main topics:</p><ul><li>Analysis and application of univariate financial time series</li><li>The return series of multiple assets</li><li>Bayesian inference in finance methods</li></ul><p>Key features of the new edition include additional coverage of modern day topics such as arbitrage, pair trading, realized volatility, and credit risk modeling; a smooth transition from S-Plus to R; and expanded empirical financial data sets.</p><p>The overall objective of the book is to provide some knowledge of financial time series, introduce some statistical tools useful for analyzing these
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