Preface to the First Edition
This book grew out of an MBA course in analysis of financial time series that I have been teaching at the University of Chicago since 1999. It also covers materials of Ph.D. courses in time series analysis that I taught over the years. It is an introductory book intended to provide a comprehensive and systematic account of financial econometric models and their application to modeling and prediction of financial time series data. The goals are to learn basic characteristics of financial data, understand the application of financial econometric models, and gain experience in analyzing financial time series.
The book will be useful as a text of time series analysis for MBA students with finance concentration or senior undergraduate and graduate students in business, economics, mathematics, and statistics who are interested in financial econometrics. The book is also a useful reference for researchers and practitioners in business, finance, and insurance facing value at risk calculation, volatility modeling, and analysis of serially correlated data.
The distinctive features of this book include the combination of recent developments in financial econometrics in the econometric and statistical literature. The developments discussed include the timely topics of value at risk (VaR), high-frequency data analysis, and Markov chain Monte Carlo (MCMC) methods. In particular, the book covers some recent results that are yet to appear in academic journals; see ...
