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yoneda


Total Posts: 14
Joined: Jun 2019
 
Posted: 2020-08-01 21:16
I have been looking into books of Tsay and Hamilton. Does anyone know better sources that specialize to financial time series, more specifically log-return series and volatility?

From several sources, I know that the return series can not be predicted/forecasted and I would like to have books that discuss this point. It does seem to contradict with results from capital growth theory where estimates of future return give optimal portfolio weights.

The volatility series do have more structure and if possible any up to date book on this topic. The tools in Tsay and Hamilton seems very old and I just wonder if recent development has outperformed them.

Thank you in advance.
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