Essentials of Time Series for Financial Applications - 1st Edition - ISBN: 9780128134092

Essentials of Time Series for Financial Applications

1st Edition

Authors: Massimo Guidolin Manuela Pedio
Paperback ISBN: 9780128134092
Imprint: Academic Press
Published Date: 1st May 2018
Page Count: 400
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Description

Essentials of Time Series for Financial Applications serves as an agile reference on 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. 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.

Key Features

  • Provides practical, hands‐on examples in time‐series econometrics
  • Presents a more application-oriented, less technical book on financial econometrics
  • Offers rigorous coverage, including technical aspects and references for the proofs, despite being an introduction
  • Features examples worked out in EViews (9 or higher)

Readership

MSc. students in Finance, Quantitative Methods (who specialize in finance), Mathematical Finance, and Engineering. Ph.D. students who need an introductory back-up to applied courses (such as Financial Econometrics graduate courses). Practitioners in derivative pricing, trading, and quantitative strategies. Asset managers, risk managers, and research analysts who focus on forecasting market quantities

Table of Contents

1. Review of Key Concepts and Methods in Econometrics: Regressions Analysis
2. Autoregressive-Moving Average (ARMA) Models and their Practical Applications
3. Vector Autoregressive Moving Average (VARMA) Models
4. Unit Roots and Cointegration Methods
5. Single-Factor Volatility Models: Autoregressive Conditional Heteroskedasticity (ARCH and GARCH)
6. Multi-Factor Volatility Models: Stochastic Volatility
7. Realized Volatility and Covariance
8. Models with Structural, Non-Recurrent Shifts in Conditional Means (Breaks)
9. Models with Recurrent Shifts in: Regime (Markov) Switching Models

Details

No. of pages:
400
Language:
English
Copyright:
© Academic Press 2018
Published:
Imprint:
Academic Press
Paperback ISBN:
9780128134092

About the Author

Massimo Guidolin

Massimo Guidolin is a full professor in the Department of Finance at Bocconi University. He earned a Ph.D. from University of California, San Diego in 2000. He has worked at the University of Virginia as an assistant professor in financial economics, the Federal Reserve Bank of St. Louis at first as a senior economist and then as an Assistant Vice-President (Financial Markets), and the Accounting and Finance department of Manchester Business School as a chaired full professor in Finance. His teaching has spanned corporate finance, asset pricing theory, empirical finance, derivative pricing, and of course, econometrics both the undergraduate and graduate (MSc. and doctoral) levels. He has published in top economics, econometrics, and finance outlets such as the American Economic Review, Journal of Financial Economics, Journal of Econometrics, Review of Financial Studies, and Economic Journal. He serves on the editorial board of a number of journals, among them Journal of Economic Dynamics and Control, International Journal of Forecasting , and Journal of Banking and Finance.

Affiliations and Expertise

Bocconi University, Milan, Italy

Manuela Pedio

Manuela Pedio is adjunct researcher associated with Bocconi’s Finance specialties and has experience as an analyst in derivatives sales and trading. She teaches courses in portfolio management and introductory statistics at Bocconi. Her research interests mainly concerns the role of regimes and statistical instability in asset pricing and portfolio choice. She has published articles and books on these topics with prime editorial companies in Europe.

Affiliations and Expertise

Bocconi University, Milano, Italy