This book provides a broad mature & systematic introduction to current financial econometric models & their applications to modeling & prediction of financial time series data It utilizes real-world examples & real financial data throughout the book to apply the models & methods described The author begins with basic characteristics of financial time series data before covering three main topics Analysis & application of univariate financial time series The return series of multiple assets Bayesian inference in finance methods Key features of the new edition include additional coverage of modern day topics such as arbitrage pair trading realized volatility & credit risk modeling; a smooth transition from S-Plus to R; & expanded empirical financial data sets The overall objective of the book is to provide some knowledge of financial time series introduce some statistical tools useful for analyzing these series & gain experience in financial applications of various econometric methods