Essentials of Time Series for Financial Applications

"In addition to providing a rigorous treatment of time series models and their estimation, every definition and statistical method is accompanied by several fully developed examples illustrating the methodologies at work and their limitations. This makes the book unique and particularly valuable for students as well as practitioners." --zbMATH "This is a marvel of a book that seamlessly blends rigorous treatment of classical and state-of-the-art topics from time-series analysis with insightful empirical examples from financial markets. The book is full of practical advice to novel practitioners as well as experts with more extensive experience from analyzing data from financial markets. The book deserves to find widespread use among Master of Finance and PhD students, and among seasoned economists who want to get updated on the most important techniques in empirical finance." --Allan Timmermann, University of California, San Diego "Guidolin and Pedio’s textbook provides a masterful treatment of some of the key methods of financial econometrics. The exposition is remarkably clear and rigorous, and all the main concepts are illustrated by rich practical examples. I highly recommend this book to higher level students and practitioners." --Laurent Calvet, EDHEC Business School "With in-depth treatment of a wide variety of relevant topics, this book is a must-read for academics and practitioners working with quantitative methods in finance." --Dick van Dijk, Erasmus University Rotterdam "Guidolin and Pedio provide a comprehensive overview of time series econometrics starting from the basics and building to more advanced topics including structural breaks, regime switching, range-based and realized covariance estimation. The authors guide the reader from introductory methods to multivariate and nonlinear methods in a succinct and readable manner and, in so doing, provide an excellent resource for both teaching and practice." --Tom McCurdy, University of Toronto