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 describ[...]

The author of the Analysis of Financial Time Series has become one of the most influential and prominent experts on the topic of time series. This incredible sequel emphasizes structural specification, which results in simplified parsimonious VARMA modeling and, hence, eases comprehension.[...]