This book focuses on time series models widely and frequently used in the examination of issues in financial economics and financial markets, which are scattered in the literature and are yet to be integrated into a single-volume, multitheme and empirical research-oriented text. The book, providing an overview of contemporary topics related to the modelling of financial time series, is set against a backdrop of rapid expansions of interest in both the models themselves and the financial problems to which they are applied.
We assume that the reader already has knowledge of econometrics and finance at the intermediate level. Hence, basic regressional analysis and time series models such as OLS, maximum likelihood, ARIMAandVAR, while being referred to from time to time in the book, are not brought up as a book topic, and neither are the concepts of market efficiency and models for asset pricing. For the former, there are good books such as Basic Econometrics by Gujarati (1995), Econometric Analysis by Greene (1999), and Introduction to Econometrics by Maddala (1992); for the latter, the reader is recommended to refer to Principles of Corporate Finance by Brealey and Myers (2000), Corporate Finance by Ross et al. (2001), Investments by Sharpe et al. (1999), Investments by Bodie (2001), and Financial Markets and Corporate Strategy by Grinblatt and Titman (1998).