1. Financial Time Series and Their Characteristics

  1. Ruey S. Tsay

Published Online: 2 AUG 2010

DOI: 10.1002/9780470644560.ch1

Analysis of Financial Time Series, Third Edition, Third Edition

Analysis of Financial Time Series, Third Edition, Third Edition

How to Cite

Tsay, R. S. (2010) Financial Time Series and Their Characteristics, in Analysis of Financial Time Series, Third Edition, Third Edition, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470644560.ch1

Author Information

  1. The University of Chicago Booth School of Business, Chicago, IL, USA

Publication History

  1. Published Online: 2 AUG 2010
  2. Published Print: 13 AUG 2010

Book Series:

  1. Wiley Series in Probability and Statistics

Book Series Editors:

  1. Walter A. Shewhart and
  2. Samuel S. Wilks

ISBN Information

Print ISBN: 9780470414354

Online ISBN: 9780470644560

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Keywords:

  • asset returns;
  • distributional properties;
  • financial time series analysis

Summary

Financial time series analysis is concerned with the theory and practice of asset valuation over time. This chapter discusses the basic concepts of asset returns and presents a brief introduction to the processes to be discussed throughout the book. There are several definitions of an asset return. The chapter discusses some definitions of returns that are used throughout the book. To study asset returns, it is best to begin with their distributional properties. The chapter briefly reviews some basic properties of statistical distributions and the moment equations of a random variable. Besides the return series, the chapter also considers the volatility process and the behavior of extreme returns of an asset. The volatility process is concerned with the evolution of conditional variance of the return over time.

Controlled Vocabulary Terms

random variables; time series analysis