Handbook of Financial Econometrics

Handbook of Financial Econometrics
Author: Yacine Ait-Sahalia,Lars Peter Hansen
Publsiher: Elsevier
Total Pages: 808
Release: 2009-10-19
ISBN 10: 9780080929842
ISBN 13: 0080929842
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics Book Review:

This collection of original articles—8 years in the making—shines a bright light on recent advances in financial econometrics. From a survey of mathematical and statistical tools for understanding nonlinear Markov processes to an exploration of the time-series evolution of the risk-return tradeoff for stock market investment, noted scholars Yacine Aït-Sahalia and Lars Peter Hansen benchmark the current state of knowledge while contributors build a framework for its growth. Whether in the presence of statistical uncertainty or the proven advantages and limitations of value at risk models, readers will discover that they can set few constraints on the value of this long-awaited volume. Presents a broad survey of current research—from local characterizations of the Markov process dynamics to financial market trading activity Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes

Handbook Of Financial Econometrics  Mathematics  Statistics  And Machine Learning  In 4 Volumes
Author: Cheng-few Lee,John C Lee
Publsiher: World Scientific
Total Pages: 5056
Release: 2020-07-30
ISBN 10: 9811202400
ISBN 13: 9789811202407
Language: EN, FR, DE, ES & NL

Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes Book Review:

This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.

Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics

Handbook of Research on Emerging Theories  Models  and Applications of Financial Econometrics
Author: Burcu Adıgüzel Mercangöz
Publsiher: Springer Nature
Total Pages: 457
Release: 2021-02-17
ISBN 10: 3030541088
ISBN 13: 9783030541088
Language: EN, FR, DE, ES & NL

Handbook of Research on Emerging Theories Models and Applications of Financial Econometrics Book Review:

This handbook presents emerging research exploring the theoretical and practical aspects of econometric techniques for the financial sector and their applications in economics. By doing so, it offers invaluable tools for predicting and weighing the risks of multiple investments by incorporating data analysis. Throughout the book the authors address a broad range of topics such as predictive analysis, monetary policy, economic growth, systemic risk and investment behavior. This book is a must-read for researchers, scholars and practitioners in the field of economics who are interested in a better understanding of current research on the application of econometric methods to financial sector data.

Handbook of Financial Econometrics and Statistics

Handbook of Financial Econometrics and Statistics
Author: Cheng-Few Lee,John C. Lee
Publsiher: Springer
Total Pages: 2897
Release: 2014-11-14
ISBN 10: 9781461477518
ISBN 13: 1461477514
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics and Statistics Book Review:

​The Handbook of Financial Econometrics and Statistics provides, in four volumes and over 100 chapters, a comprehensive overview of the primary methodologies in econometrics and statistics as applied to financial research. Including overviews of key concepts by the editors and in-depth contributions from leading scholars around the world, the Handbook is the definitive resource for both classic and cutting-edge theories, policies, and analytical techniques in the field. Volume 1 (Parts I and II) covers all of the essential theoretical and empirical approaches. Volumes 2, 3, and 4 feature contributed entries that showcase the application of financial econometrics and statistics to such topics as asset pricing, investment and portfolio research, option pricing, mutual funds, and financial accounting research. Throughout, the Handbook offers illustrative case examples and applications, worked equations, and extensive references, and includes both subject and author indices.​

Financial Econometrics Mathematics and Statistics

Financial Econometrics  Mathematics and Statistics
Author: Cheng-Few Lee,Hong-Yi Chen,John Lee
Publsiher: Springer
Total Pages: 655
Release: 2019-06-03
ISBN 10: 1493994298
ISBN 13: 9781493994298
Language: EN, FR, DE, ES & NL

Financial Econometrics Mathematics and Statistics Book Review:

This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics. ​

Handbook of Financial Econometrics Set

Handbook of Financial Econometrics Set
Author: Yacine Ait-sahalia,Lars Hansen
Publsiher: North Holland
Total Pages: 1000
Release: 2009-09-21
ISBN 10: 9780444535542
ISBN 13: 0444535543
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics Set Book Review:

Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to long-run implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. Set is the collection of Volumes 1 & 2 Contributors include Nobel Laureate Robert Engle and leading econometricians Offers a clarity of method and explanation unavailable in other financial econometrics collections

Introductory Econometrics for Finance

Introductory Econometrics for Finance
Author: Chris Brooks
Publsiher: Cambridge University Press
Total Pages: 135
Release: 2008-05-22
ISBN 10: 1139472305
ISBN 13: 9781139472302
Language: EN, FR, DE, ES & NL

Introductory Econometrics for Finance Book Review:

This best-selling textbook addresses the need for an introduction to econometrics specifically written for finance students. Key features: • Thoroughly revised and updated, including two new chapters on panel data and limited dependent variable models • Problem-solving approach assumes no prior knowledge of econometrics emphasising intuition rather than formulae, giving students the skills and confidence to estimate and interpret models • Detailed examples and case studies from finance show students how techniques are applied in real research • Sample instructions and output from the popular computer package EViews enable students to implement models themselves and understand how to interpret results • Gives advice on planning and executing a project in empirical finance, preparing students for using econometrics in practice • Covers important modern topics such as time-series forecasting, volatility modelling, switching models and simulation methods • Thoroughly class-tested in leading finance schools. Bundle with EViews student version 6 available. Please contact us for more details.

Efficiency in Business and Economics

Efficiency in Business and Economics
Author: Tadeusz Dudycz,Grażyna Osbert-Pociecha,Bogumiła Brycz
Publsiher: Springer
Total Pages: 309
Release: 2017-12-29
ISBN 10: 3319682857
ISBN 13: 9783319682853
Language: EN, FR, DE, ES & NL

Efficiency in Business and Economics Book Review:

This volume offers a collection of studies on problem of organization’s efficiency, criteria for evaluating the efficiency, tools and methods for measuring the efficiency. The articles included present an interdisciplinary look at efficiency, its essence and the principles of its measurement. The contributions also identify a broad spectrum of conditions for achieving efficiency in various types of organizations and systems (e.g. public institution, non-profit organizations), representing various industries. The book collects selected papers presented at the 7th International Conference "Efficiency as a Source of the Wealth of Nations", held in Wrocław, Poland, in May 2017.

Handbook of Financial Econometrics Applications

Handbook of Financial Econometrics  Applications
Author: Yacine Aït-Sahalia,Lars Peter Hansen
Publsiher: Elsevier Science
Total Pages: 356
Release: 2009-09
ISBN 10: 9780444535481
ISBN 13: 0444535489
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics Applications Book Review:

Vol 1 covers fundamental econometric techniques and tools on recent advances in financial econometrics. Parametric and nonparametric, in continuous time and discrete time, these techniques and tools include Markov processes, a system for categorizing volatility concepts, a simulated method of moments indicator, and models for the timing of events. Together they reveal the ways that local characterizations can lead to long-run implications and how relationships between observed and unobserved values can be inferred. Vol 2 covers important research even as they make unique empirical contributions to the literature. These subjects are familiar: portfolio choice, trading volume, the risk-return tradeoff, option pricing, bond yields, and the management, supervision, and measurement of extreme and infrequent risks. Yet their treatments are exceptional, drawing on current data and evidence to reflect recent events and scholarship. This set is the collection of Volumes 1 & 2. Its contributors include Nobel Laureate Robert Engle and leading econometricians. It offers a clarity of method and explanation unavailable in other financial econometrics collections.

Handbook of Financial Econometrics Mathematics Statistics and Machine Learning

Handbook of Financial Econometrics  Mathematics  Statistics  and Machine Learning
Author: Cheng F. Lee,John C. Lee
Publsiher: Unknown
Total Pages: 4881
Release: 2020
ISBN 10: 9789811202391
ISBN 13: 9811202397
Language: EN, FR, DE, ES & NL

Handbook of Financial Econometrics Mathematics Statistics and Machine Learning Book Review:

"This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts. In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others. In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook. Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience"--Publisher's website.

Handbook in Monte Carlo Simulation

Handbook in Monte Carlo Simulation
Author: Paolo Brandimarte
Publsiher: John Wiley & Sons
Total Pages: 688
Release: 2014-06-20
ISBN 10: 1118594517
ISBN 13: 9781118594513
Language: EN, FR, DE, ES & NL

Handbook in Monte Carlo Simulation Book Review:

An accessible treatment of Monte Carlo methods, techniques, and applications in the field of finance and economics Providing readers with an in-depth and comprehensive guide, the Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics presents a timely account of the applicationsof Monte Carlo methods in financial engineering and economics. Written by an international leading expert in thefield, the handbook illustrates the challenges confronting present-day financial practitioners and provides various applicationsof Monte Carlo techniques to answer these issues. The book is organized into five parts: introduction andmotivation; input analysis, modeling, and estimation; random variate and sample path generation; output analysisand variance reduction; and applications ranging from option pricing and risk management to optimization. The Handbook in Monte Carlo Simulation features: An introductory section for basic material on stochastic modeling and estimation aimed at readers who may need a summary or review of the essentials Carefully crafted examples in order to spot potential pitfalls and drawbacks of each approach An accessible treatment of advanced topics such as low-discrepancy sequences, stochastic optimization, dynamic programming, risk measures, and Markov chain Monte Carlo methods Numerous pieces of R code used to illustrate fundamental ideas in concrete terms and encourage experimentation The Handbook in Monte Carlo Simulation: Applications in Financial Engineering, Risk Management, and Economics is a complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, as well as a supplement for MBA and graduate-level courses on Monte Carlo methods and simulation.

Financial Econometrics

Financial Econometrics
Author: Anonim
Publsiher: Bookboon
Total Pages: 135
Release: 2022
ISBN 10: 8776814270
ISBN 13: 9788776814274
Language: EN, FR, DE, ES & NL

Financial Econometrics Book Review:

Financial Microeconometrics

Financial Microeconometrics
Author: Marek Gruszczyński
Publsiher: Springer Nature
Total Pages: 215
Release: 2019-11-23
ISBN 10: 3030342190
ISBN 13: 9783030342197
Language: EN, FR, DE, ES & NL

Financial Microeconometrics Book Review:

This book explores new topics in modern research on empirical corporate finance and applied accounting, especially the econometric analysis of microdata. Dubbed “financial microeconometrics” by the author, this concept unites both methodological and applied approaches. The book examines how quantitative methods can be applied in corporate finance and accounting research in order to predict companies getting into financial distress. Presented in a clear and straightforward manner, it also suggests methods for linking corporate governance to financial performance, and discusses what the determinants of accounting disclosures are. Exploring these questions by way of numerous practical examples, this book is intended for researchers, practitioners and students who are not yet familiar with the variety of approaches available for data analysis and microeconometrics. “This book on financial microeconometrics is an excellent starting point for research in corporate finance and accounting. In my view, the text is positioned between a narrative and a scientific treatise. It is based on a vast amount of literature but is not overloaded with formulae. My appreciation of financial microeconometrics has very much increased. The book is well organized and properly written. I enjoyed reading it.” Wolfgang Marty, Senior Investment Strategist, AgaNola AG

Financial Econometrics

Financial Econometrics
Author: Svetlozar T. Rachev,Stefan Mittnik,Frank J. Fabozzi,Sergio M. Focardi,Teo Jašić
Publsiher: John Wiley & Sons
Total Pages: 560
Release: 2007-03-22
ISBN 10: 0470121521
ISBN 13: 9780470121528
Language: EN, FR, DE, ES & NL

Financial Econometrics Book Review:

A comprehensive guide to financial econometrics Financial econometrics is a quest for models that describe financial time series such as prices, returns, interest rates, and exchange rates. In Financial Econometrics, readers will be introduced to this growing discipline and the concepts and theories associated with it, including background material on probability theory and statistics. The experienced author team uses real-world data where possible and brings in the results of published research provided by investment banking firms and journals. Financial Econometrics clearly explains the techniques presented and provides illustrative examples for the topics discussed. Svetlozar T. Rachev, PhD (Karlsruhe, Germany) is currently Chair-Professor at the University of Karlsruhe. Stefan Mittnik, PhD (Munich, Germany) is Professor of Financial Econometrics at the University of Munich. Frank J. Fabozzi, PhD, CFA, CFP (New Hope, PA) is an adjunct professor of Finance at Yale University’s School of Management. Sergio M. Focardi (Paris, France) is a founding partner of the Paris-based consulting firm The Intertek Group. Teo Jasic, PhD, (Frankfurt, Germany) is a senior manager with a leading international management consultancy firm in Frankfurt.

High Frequency Financial Econometrics

High Frequency Financial Econometrics
Author: Yacine Aït-Sahalia,Jean Jacod
Publsiher: Princeton University Press
Total Pages: 688
Release: 2014-07-21
ISBN 10: 0691161437
ISBN 13: 9780691161433
Language: EN, FR, DE, ES & NL

High Frequency Financial Econometrics Book Review:

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric methods for analyzing high-frequency financial data has grown exponentially. This growth has been driven by the increasing availability of such data, the technological advancements that make high-frequency trading strategies possible, and the need of practitioners to analyze these data. This comprehensive book introduces readers to these emerging methods and tools of analysis. Yacine Aït-Sahalia and Jean Jacod cover the mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and present the asymptotic concepts that their analysis relies on. Aït-Sahalia and Jacod also deal with estimation of the volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and testing questions involving the jump part of the model. As they demonstrate, the practical importance and relevance of jumps in financial data are universally recognized, but only recently have econometric methods become available to rigorously analyze jump processes. Aït-Sahalia and Jacod approach high-frequency econometrics with a distinct focus on the financial side of matters while maintaining technical rigor, which makes this book invaluable to researchers and practitioners alike.

Handbook of Fixed Income Securities

Handbook of Fixed Income Securities
Author: Pietro Veronesi
Publsiher: John Wiley & Sons
Total Pages: 632
Release: 2016-04-04
ISBN 10: 1118709195
ISBN 13: 9781118709191
Language: EN, FR, DE, ES & NL

Handbook of Fixed Income Securities Book Review:

A comprehensive guide to the current theories and methodologies intrinsic to fixed-income securities Written by well-known experts from a cross section of academia and finance, Handbook of Fixed-Income Securities features a compilation of the most up-to-date fixed-income securities techniques and methods. The book presents crucial topics of fixed income in an accessible and logical format. Emphasizing empirical research and real-life applications, the book explores a wide range of topics from the risk and return of fixed-income investments, to the impact of monetary policy on interest rates, to the post-crisis new regulatory landscape. Well organized to cover critical topics in fixed income, Handbook of Fixed-Income Securities is divided into eight main sections that feature: • An introduction to fixed-income markets such as Treasury bonds, inflation-protected securities, money markets, mortgage-backed securities, and the basic analytics that characterize them • Monetary policy and fixed-income markets, which highlight the recent empirical evidence on the central banks’ influence on interest rates, including the recent quantitative easing experiments • Interest rate risk measurement and management with a special focus on the most recent techniques and methodologies for asset-liability management under regulatory constraints • The predictability of bond returns with a critical discussion of the empirical evidence on time-varying bond risk premia, both in the United States and abroad, and their sources, such as liquidity and volatility • Advanced topics, with a focus on the most recent research on term structure models and econometrics, the dynamics of bond illiquidity, and the puzzling dynamics of stocks and bonds • Derivatives markets, including a detailed discussion of the new regulatory landscape after the financial crisis and an introduction to no-arbitrage derivatives pricing • Further topics on derivatives pricing that cover modern valuation techniques, such as Monte Carlo simulations, volatility surfaces, and no-arbitrage pricing with regulatory constraints • Corporate and sovereign bonds with a detailed discussion of the tools required to analyze default risk, the relevant empirical evidence, and a special focus on the recent sovereign crises A complete reference for practitioners in the fields of finance, business, applied statistics, econometrics, and engineering, Handbook of Fixed-Income Securities is also a useful supplementary textbook for graduate and MBA-level courses on fixed-income securities, risk management, volatility, bonds, derivatives, and financial markets. Pietro Veronesi, PhD, is Roman Family Professor of Finance at the University of Chicago Booth School of Business, where he teaches Masters and PhD-level courses in fixed income, risk management, and asset pricing. Published in leading academic journals and honored by numerous awards, his research focuses on stock and bond valuation, return predictability, bubbles and crashes, and the relation between asset prices and government policies.

Linear Models and Time Series Analysis

Linear Models and Time Series Analysis
Author: Marc S. Paolella
Publsiher: Wiley
Total Pages: 896
Release: 2018-11-28
ISBN 10: 1119431905
ISBN 13: 9781119431909
Language: EN, FR, DE, ES & NL

Linear Models and Time Series Analysis Book Review:

A comprehensive and timely edition on an emerging new trend in time series Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH sets a strong foundation, in terms of distribution theory, for the linear model (regression and ANOVA), univariate time series analysis (ARMAX and GARCH), and some multivariate models associated primarily with modeling financial asset returns (copula-based structures and the discrete mixed normal and Laplace). It builds on the author's previous book, Fundamental Statistical Inference: A Computational Approach, which introduced the major concepts of statistical inference. Attention is explicitly paid to application and numeric computation, with examples of Matlab code throughout. The code offers a framework for discussion and illustration of numerics, and shows the mapping from theory to computation. The topic of time series analysis is on firm footing, with numerous textbooks and research journals dedicated to it. With respect to the subject/technology, many chapters in Linear Models and Time-Series Analysis cover firmly entrenched topics (regression and ARMA). Several others are dedicated to very modern methods, as used in empirical finance, asset pricing, risk management, and portfolio optimization, in order to address the severe change in performance of many pension funds, and changes in how fund managers work. Covers traditional time series analysis with new guidelines Provides access to cutting edge topics that are at the forefront of financial econometrics and industry Includes latest developments and topics such as financial returns data, notably also in a multivariate context Written by a leading expert in time series analysis Extensively classroom tested Includes a tutorial on SAS Supplemented with a companion website containing numerous Matlab programs Solutions to most exercises are provided in the book Linear Models and Time-Series Analysis: Regression, ANOVA, ARMA and GARCH is suitable for advanced masters students in statistics and quantitative finance, as well as doctoral students in economics and finance. It is also useful for quantitative financial practitioners in large financial institutions and smaller finance outlets.

Financial Statistics and Data Analytics

Financial Statistics and Data Analytics
Author: Shuangzhe Li,Milind Sathye
Publsiher: MDPI
Total Pages: 232
Release: 2021-03-02
ISBN 10: 3039439758
ISBN 13: 9783039439751
Language: EN, FR, DE, ES & NL

Financial Statistics and Data Analytics Book Review:

Modern financial management is largely about risk management, which is increasingly data-driven. The problem is how to extract information from the data overload. It is here that advanced statistical and machine learning techniques can help. Accordingly, finance, statistics, and data analytics go hand in hand. The purpose of this book is to bring the state-of-art research in these three areas to the fore and especially research that juxtaposes these three.

Contemporary Topics in Finance

Contemporary Topics in Finance
Author: Iris Claus,Leo Krippner
Publsiher: John Wiley & Sons
Total Pages: 400
Release: 2019-03-07
ISBN 10: 1119565189
ISBN 13: 9781119565185
Language: EN, FR, DE, ES & NL

Contemporary Topics in Finance Book Review:

The literature surveys presented in this edited volume provide readers with up-to-date reviews on eleven contemporary topics in finance. Topics include unconventional monetary policy, implicit bank guarantees, and financial fraud - all linked to the exceptional event of the Global Financial Crisis Explores how recent studies on inflation risk premia and finance and productivity have benefitted from new empirical methods and the availability of relevant data Demonstrates how angel investing, venture capital, relationship lending and microfinance have benefitted from increased research as they have become more seasoned Investigates crowdfunding and crypto-currencies which have both arisen from recent technological developments

Handbook of Financial Time Series

Handbook of Financial Time Series
Author: Torben Gustav Andersen,Richard A. Davis,Jens-Peter Kreiß,Thomas V. Mikosch
Publsiher: Springer Science & Business Media
Total Pages: 1050
Release: 2009-04-21
ISBN 10: 3540712976
ISBN 13: 9783540712978
Language: EN, FR, DE, ES & NL

Handbook of Financial Time Series Book Review:

The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.