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Analysis of Financial Time Series (Wiley Series in Probability and Statistics)
by Ruey S. Tsay
from Wiley-Interscience
Customer Reviews:
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Avg. Customer Rating: 4.5 / 5.0 
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good coverage 
Professor Tsay is a student of the Wisconsin school of statisticians where he learned time series from Box and Tiao. He is an excellent lecturer and a good writer. i have attended one of the short courses he taught on time series. New models have been developed to deal with the special behavior of financial time series. Professor Tsay is always at the forefront of that research and teaches at Chicago in one of this country's top business schools. If I am current on this George Tiao is also there at present.
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Excellent and detailed reference
The coverage of the topic is broad and deep. It is one of the few introductory books that devotes some space to transfer function modeling and does so intelligibly.
A must have for the novice as well as those more familiar with the topic that need a solid reference.
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The best for Masters level, great all-around
This text is absolutely perfect for Masters students learning financial econometrics. There is a little theory, clear explanations, and quite a few real world examples. (I don't think any text would tell the reader what model to use when, because that's application-specific.) It assumes some knowledge of finance and basic econometrics/statistics, which is fair enough. To get more theory, Hamilton (1994) remains the authority, and Campbell, Lo, MacKinlay (1997) is a great introduction for PhD students, and... more info
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Excellent reference! 
This book is an excellent toolbox for anyove dealing in the field of financial engineering, however, as a real toolbox, the author doesn't explain the exact use of all tools and how to interpret the results. This is why this book is for advanced users who need a well documented reference but it is not very suitable for beginners in the field. The Splus code is welcome.
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