Financial Econometrics textbook

[MiloRambaldi]

Any suggestions for a good econometrics textbook for modeling financial time series?

 

[AZPalta]

Ruey S. Tsay's 'Analysis for Financial Time Series' might be the standard on the subject.
I also refer you to Hamilton's Time Series Analysis which is the textbook used by most Econ Grad programs, but its not specific to Financial markets.

 

[Tsotne]

The difference between the economics and econometrics textbooks you can find is the concentration on math based modeling. Some mathematical economics books (not econometrics) also cover the time series analysis. You might find these helpful.

http://www.amazon.com/Applied-Time-Econometrics-Themes-Modern/dp/0521547873
http://www.amazon.com/Applied-Econometric-Time-Walter-Enders/dp/0471230650
http://www.amazon.com/Econometric-Modelling-Financial-Time/dp/0521624134
http://www.amazon.com/Applied-Econometric-Time-Walter-Enders/dp/0471039411

 

[alain]

Ruey S. Tsay's 'Analysis for Financial Time Series' might be the standard on the subject.
I also refer you to Hamilton's Time Series Analysis which is the textbook used by most Econ Grad programs, but its not specific to Financial markets.

Tsay book is the book (the latest edition is even better than the previous one). There is an R package with all the information for the book as well. Go to his web site and you can a lot of information that applies to this theme:

http://faculty.chicagobooth.edu/ruey.tsay/teaching/

 

[Tsotne]

I saw that book contents and looks quite good and exhaustive what can be covered in one book. But the topics are not that interesting for financial point of view.(I think)

 

[alain]

I saw that book contents and looks quite good and exhaustive what can be covered in one book. But the topics are not that interesting for financial point of view.(I think)

are you talking about the book by Tsay?

I think Tsay book is fairly complete and cover a lot of information of financial Time series. If you think the topics are not interesting from the financial point of view, what would you like to see in a financial time series book?

BTW, I'm sorry but I think you have no idea what you are talking about.

 

[Tsotne]

are you talking about the book by Tsay?

I think Tsay book is fairly complete and cover a lot of information of financial Time series. If you think the topics are not interesting from the financial point of view, what would you like to see in a financial time series book?

BTW, I'm sorry but I think you have no idea what you are talking about.

Yes I'm talking about Ruey S. Tsay Analysis of Financial Time Series book. I said it covers main parts of the time series analysis fairly well but you asked very good question:

what would you like to see in a financial time series book?

I already ordered that book and start reading it by the end of this month and I've been suggested to get other materials about Bootstrap methods. This book in part 4 describes the parametric bootstrap methods which is not fully complete and I'll tell you why. First, Jorion's book (VAR) mentions bootstrap but the explanation is not complete and satisfactory since there is not any statistical preconditions explained. That's why I didn't like that book VAR. (Lack of information or not providing background of the topic to be introduced). It should precede a statistical background about the sum of the variables of different distributions which is not an easy thing. In simplest bootstrap method for example, you have a vector of Xi-s which is iid and we don't know the distribution. Bootstrap tells us to randomly choose an index of that vector and take the number standing on that vector and repeat this n times (n is the length of a vector). Then fit the distribution to the sum of such variables. Central limit theorem is applied (in this book also) which says that the obtained distribution approaches normal no matter whatever the first distribution (Xs) was. So I think the point is clear. It is not an easy job to get the distribution for 2 differently distributed variables (not the case in the example above but in some bootstrap methods you have to sum up differently distributed variables).

As for ARMA models I think we all agree that this book gives explanations of those models which are to be applied in the examples provided. ARMA is a huge topic and it is discussed just "briefly" (those what is needed). I'd prefer to have a full explanation of ARMA models as well. I still think that this is a good book giving explanations of very important topics but something could be explained more widely.

 

[MiloRambaldi]

Many thanks everyone for your helpful comments.

I ordered the 3rd edition of the Tsay book based on alain's recommendation.

 

[Tsotne]

I can provide the contents if needed. Write an e-mail and I'll send you those materials.

 

[Andy Nguyen]

I hope the contents that you are providing other members via email are not copyrighted. If someone needs a book, please buy it and support the author.

 

[Tsotne]

I hope the contents that you are providing other members via email are not copyrighted. If someone needs a book, please buy it and support the author.

No of course not copyright. I sent them the articles pointed in those books. You have to struggle collecting them so I have already made that effort. That's all.