The role of the financial analyst has changed drastically within the last decade. As new statistical theory and methods became easily accessible through the computational power of new software and better hardware, there was a shift towards the application of these to data in the financial sector. Employees in finance are realizing their need to become more involved in both time series and risk analysis. This book bridges that gap.

The seven chapters are an excellent resource to anyone wishing to learn more about the application of statistics to financial data. The author attempts to transform the reader from novice statistician to financial consultant in one read… an ambitious aim by any standards. The path begins with basic univariate and multivariate exploratory data analyses. The author then covers regression (parametric, local and nonparametric) and concludes by looking at time series analysis and state space models. The reader is exposed to every type of time series together with the applications of these to real data and the interpretation of the output that is produced by the S-PLUS Finmetrics module. Only a minimum amount of theory is thrown in so that a basic (and practical) understanding of more advanced materials like stochastic volatility modelling and random simulation and scenario generation can be appreciated. A copy of S-PLUS is essential to make optimum use of the material in the text.

The book is endowed with many examples that have been taken from real modelling situations including central banks and financial institutions. A comprehensive reference section is given and the book has the S-PLUS codes that are needed to perform the statistical modelling. I thought that the comprehensive nature of the text together with the non-mathematical treatment make it highly desirable for the workplace. In this respect, this text is likely to be recommended over that produced by Zivot and Wang (2003). The reference section is extremely useful and comprehensive. Libraries should be encouraged to purchase copies of this text for undergraduate and post-graduate students in finance and statistics.

Reference

Zivot
,
E.
and
Wang
,
J.
(
2003
)
Modeling Financial Time Series with S-Plus
.
New York
:
Springer
.

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