Ruey S. Tsay 
Analysis of Financial Time Series 

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.



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

* Bayesian inference in finance methods

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.

The overall objective of the book is to provide some knowledge
of financial time series, introduce some statistical tools useful
for analyzing these series and gain experience in financial
applications of various econometric methods.

About the author

RUEY S. TSAY, Ph D, is H. G. B. Alexander Professor of Econometrics and Statistics at the University of Chicago Booth School of Business. Dr. Tsay has written over 100 published articles in the areas of business and economic forecasting, data analysis, risk management, and process control, and he is the coauthor of A Course in Time Series Analysis (Wiley). Dr. Tsay is a Fellow of the American Statistical Association, the Institute of Mathematical Statistics, the Royal Statistical Society, and Academia Sinica.