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Handbook of Financial Time Series

Author: Torben G Andersen; Richard A Davis; Jens P Kreiß; Thomas Mikosch
Publisher: Berlin : Springer Berlin, 2008.
Edition/Format:   Print book : English : 1. edView all editions and formats
Publication:Handbook of Financial Time Series.
Summary:

The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Torben G Andersen; Richard A Davis; Jens P Kreiß; Thomas Mikosch
ISBN: 3540712968 9783540712961 9783540712978 3540712976
OCLC Number: 255466744
Description: 750 Seiten ; 235 x 155 mm
Contents: Recent Developments in GARCH Modeling.- An Introduction to Univariate GARCH Models.- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)#x2013;Processes.- ARCH(#x221E;) Models and Long Memory Properties.- A Tour in the Asymptotic Theory of GARCH Estimation.- Practical Issues in the Analysis of Univariate GARCH Models.- Semiparametric and Nonparametric ARCH Modeling.- Varying Coefficient GARCH Models.- Extreme Value Theory for GARCH Processes.- Multivariate GARCH Models.- Recent Developments in Stochastic Volatility Modeling.- Stochastic Volatility: Origins and Overview.- Probabilistic Properties of Stochastic Volatility Models.- Moment#x2013;Based Estimation of Stochastic Volatility Models.- Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility.- Stochastic Volatility Models with Long Memory.- Extremes of Stochastic Volatility Models.- Multivariate Stochastic Volatility.- Topics in Continuous Time Processes.- An Overview of Asset-Price Models.- Ornstein-Uhlenbeck Processes and Extensions.- Jump-Type Levy Processes.- Levy-Driven Continuous-Time ARMA Processes.- Continuous Time Approximations to GARCH and Stochastic Volatility Models.- Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance.- Parametric Inference for Discretely Sampled Stochastic Differential Equations.- Realized Volatility.- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations.- Option Pricing.- An Overview of Interest Rate Theory.- Extremes of Continuous-Time Processes..- Topics in Cointegration and Unit Roots.- Cointegration: Overview and Development.- Time Series with Roots on or Near the Unit Circle.- Fractional Cointegration.- Special Topics - Risk.- Different Kinds of Risk.- Value-at-Risk Models.- Copula-Based Models for Financial Time Series.- Credit Risk Modeling.- Special Topics - Time Series Methods.- Evaluating Volatility and Correlation Forecasts.- Structural Breaks in Financial Time Series.- An Introduction to Regime Switching Time Series Models.- Model Selection.- Nonparametric Modeling in Financial Time Series.- Modelling Financial High Frequency Data Using Point Processes.- Special Topics - Simulation Based Methods.- Resampling and Subsampling for Financial Time Series.- Markov Chain Monte Carlo.- Particle Filtering.
Responsibility: Hrsg. Torben G. Andersen ; Hrsg. Richard A. Davis ; Hrsg. Jens P. Kreiß ; Hrsg. Thomas Mikosch.

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From the reviews:"Academic researchers and graduate students in statistics, economics and financial engineering, Industry banking, investments and insurance. ... The handbook is clearly written and Read more...

 
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