Time Series Applications to Finance
By Ngai Hang Chan, Chinese University of Hong Kong
This textbook evolved in conjunction with teaching a course in time series analysis at Carnegie Mellon University and the Chinese University of Hong Kong. For the past several years, I have been involved in developing and teaching the financial time series analysis course for the Masters of Science in Computational Finance Program at Carnegie Mellon University. There are two unique features of this program that differ from those of a traditional statistics curriculum.