Includes bibliographical references and index.

1 Financial Time Series and Their Characteristics
2 Linear Time Series Analysis and Its Applications
3 Conditional Heteroscedastic Models
4 Nonlinear Models and Their Applications
5 High-Frequency Data Analysis and Market Microstructure
6 Continuous-Time Models and Their Applications
7 Extreme Values, Quantiles, and Value at Risk
8 Multivariate Time Series Analysis and Its Applications
9 Principal Component Analysis and Factor Models
10 Multivariate Volatility Models and Their Applications
11 State-Space Models and Kalman Filter
12 Markov Chain Monte Carlo Methods with Applications

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 described.