"In addition to providing a rigorous treatment of time series models and their estimation, every definition and statistical method is accompanied by several fully developed examples illustrating the methodologies at work and their limitations. This makes the book unique and particularly valuable for students as well as practitioners." --zbMATH "This is a marvel of a book that seamlessly blends rigorous treatment of classical and state-of-the-art topics from time-series analysis with insightful empirical examples from financial markets. The book is full of practical advice to novel practitioners as well as experts with more extensive experience from analyzing data from financial markets. The book deserves to find widespread use among Master of Finance and PhD students, and among seasoned economists who want to get updated on the most important techniques in empirical finance." --Allan Timmermann, University of California, San Diego "Guidolin and Pedio’s textbook provides a masterful treatment of some of the key methods of financial econometrics. The exposition is remarkably clear and rigorous, and all the main concepts are illustrated by rich practical examples. I highly recommend this book to higher level students and practitioners." --Laurent Calvet, EDHEC Business School "With in-depth treatment of a wide variety of relevant topics, this book is a must-read for academics and practitioners working with quantitative methods in finance." --Dick van Dijk, Erasmus University Rotterdam "Guidolin and Pedio provide a comprehensive overview of time series econometrics starting from the basics and building to more advanced topics including structural breaks, regime switching, range-based and realized covariance estimation. The authors guide the reader from introductory methods to multivariate and nonlinear methods in a succinct and readable manner and, in so doing, provide an excellent resource for both teaching and practice." --Tom McCurdy, University of Toronto

"In addition to providing a rigorous treatment of time series models and their estimation, every definition and statistical method is accompanied by several fully developed examples illustrating the methodologies at work and their limitations. This makes the book unique and particularly valuable for students as well as practitioners." --zbMATH "This is a marvel of a book that seamlessly blends rigorous treatment of classical and state-of-the-art topics from time-series analysis with insightful empirical examples from financial markets. The book is full of practical advice to novel practitioners as well as experts with more extensive experience from analyzing data from financial markets. The book deserves to find widespread use among Master of Finance and PhD students, and among seasoned economists who want to get updated on the most important techniques in empirical finance." --Allan Timmermann, University of California, San Diego "Guidolin and Pedio’s textbook provides a masterful treatment of some of the key methods of financial econometrics. The exposition is remarkably clear and rigorous, and all the main concepts are illustrated by rich practical examples. I highly recommend this book to higher level students and practitioners." --Laurent Calvet, EDHEC Business School "With in-depth treatment of a wide variety of relevant topics, this book is a must-read for academics and practitioners working with quantitative methods in finance." --Dick van Dijk, Erasmus University Rotterdam "Guidolin and Pedio provide a comprehensive overview of time series econometrics starting from the basics and building to more advanced topics including structural breaks, regime switching, range-based and realized covariance estimation. The authors guide the reader from introductory methods to multivariate and nonlinear methods in a succinct and readable manner and, in so doing, provide an excellent resource for both teaching and practice." --Tom McCurdy, University of Toronto

Massimo Guidolin is a full professor in the Department of Finance at Bocconi University. He earned a Ph.D. from University of California, San Diego in 2000. He has worked at the University of Virginia as an assistant professor in financial economics, the Federal Reserve Bank of St. Louis at first as a senior economist and then as an Assistant Vice-President (Financial Markets), and the Accounting and Finance department of Manchester Business School as a chaired full professor in Finance. His teaching has spanned corporate finance, asset pricing theory, empirical finance, derivative pricing, and of course, econometrics both the undergraduate and graduate (MSc. and doctoral) levels. He has published in top economics, econometrics, and finance outlets such as the American Economic Review, Journal of Financial Economics, Journal of Econometrics, Review of Financial Studies, and Economic Journal. He serves on the editorial board of a number of journals, among them Journal of Economic Dynamics and Control, International Journal of Forecasting , and Journal of Banking and Finance. Manuela Pedio is adjunct researcher associated with Bocconi’s Finance specialties and has experience as an analyst in derivatives sales and trading. She teaches courses in portfolio management and introductory statistics at Bocconi. Her research interests mainly concerns the role of regimes and statistical instability in asset pricing and portfolio choice. She has published articles and books on these topics with prime editorial companies in Europe.