- Series: Probability and Statistics
- Paperback: 712 pages
- Publisher: John Wiley & Sons; 3rd edition (2010)
- Language: English
- ISBN-10: 8126548932
- ISBN-13: 978-8126548934
- Package Dimensions: 8.9 x 6.1 x 1 inches
- Shipping Weight: 1.6 pounds
- Average Customer Review: 18 customer reviews
- Amazon Best Sellers Rank: #619,894 in Books (See Top 100 in Books)
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Analysis of Financial Time Series, 3rd Edition Paperback – 2010
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Top customer reviews
* Covers a broad scope of up-to-date time series topics.
* Presentations of models are concise but not too short.
* A bit uncomfortable and unconventional (compared to other time series texts) notation.
* On some occasions presents outdated approaches that have been proved "wrong" without even giving a warning. E.g. suggests testing for remaining ARCH effects in (G)ARCH model residuals by the simple ARCH-LM test. This approach has been proven wrong and an alternative has been suggested already in 1994 (the Li-Mak test). However, the book is completely mute about this issue.
* A few typos, but not a major problem.
As for the book, I'm through Chapter Three and it is otherwise readable and understandable. The author presents the material well, but I've already had one course on time series analysis.