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|All Authors / Contributors:||
Torben G Andersen
|Description:||xxix, 1050 pages : illustrations ; 25 cm|
|Contents:||Recent developments in GARCH modeling. An introduction to univariate GARCH models / Timo Teräsvirta ; Stationarity, mixing, distributional properties and moments of GARCH (p, q) processes / Alexander M. Lindner ; ARCH [infinity symbol] models and long memory properties / Liudas Giraitis, Remigijus Leipus and Donatas Surgailis ; A tour in the asymptotic theory of GARCH estimation / Christian Franq and Jean-Michel Zakoïan ; Practical issues in the analysis of univariate GARCH models / Eric Zivot ; Semiparametric and nonparametric ARCH modeling / Oliver B. Linton ; Varying coefficient GARCH models / Pavel Čížek and Vladimir Spokoiny ; Extreme value theory for GARCH processes / Richard A. Davis and Thomas Mikosch ; Multivariate GARCH models / Annastiina Silvennoinen and Timo Teräsvirta --
Recent developments in stochastic volatility modeling. Stochastic volatility : origins and overview / Neil Shephard and Torben G. Andersen ; Probabilistic properties of stochastic volatility models / Richard A. Davis and Thomas Mikosch ; Moment-based estimation of stochastic volatility models / Eric Renault ; Parameter estimation and practical aspects of modeling stochastic volatility / Borus Jungbacker and Siem Jan Koopman ; Stochastic volatility models with long memory / Clifford M. Hurvich and Philippe Soulier ; Extremes of stochastic volatility models / Richard A. Davis and Thomas Mikosch ; Multivariate stochastic volatility / Siddhartha Chib, Yasuhiro Omori and Manabu Asai --
Topics in continuous time processes. An overview of asset-price models / Peter J. Brockwell ; Ornstein-Uhlenbeck processes and extensions / Ross A. Maller, Gernot Müller and Alez Szimayer ; Jump-type Lévy processes / Ernst Eberlein ; Lévy-driven continuous-time ARMA processes / Peter J. Brockwell ; Continuous time approximations to GARCH and stochastic volatility models / Alexander M. Lindner ; Maximum likelihood and Gaussian estimation of continuous time models in finance / Peter C.B. Phillips and Jun Yu ; Parametric inference for discretely sampled stochastic differential equations / Michael Sørensen ; Realized volatility ; Estimating volatility in the presence of market microstructure noise : a review of the theory and practical considerations / Yacine Aït-Sahalia and Per A. Mykland ; Option pricing / Jan Kallsen ; An overview of interest rate theory / Tomas Björk ; Extremes of continuous time processes / Vicky Fasen --
Topics in cointegration and unit roots. Cointegration : overview and development / Søren Johansen ; Time series with roots on or near the unit circle / Ngai Hang Chan ; Fractional cointegration / Willa W. Chen and Clifford M. Hurvich --
Special topics: risk. Different kinds of risk / Paul Embrechts, Hansjörg Furrer and Roger Kaufmann ; Value-at-risk models / Peter Christoffersen ; Copula-based models for financial time series / Andrew J. Patton ; Credit risk modeling / David Lando --
Special topics : time series methods. Evaluating volatility and correlation forecasts / Andrew J. Patton and Kevin Sheppard ; Structural breaks in financial time series / Elena Andreou and Eric Ghysels ; An introduction to regime switching time series moels / Theis and Anders Rahbek ; Model selection / Hannes Leeb and Benedikt M. Pötscher ; Nonparametric modeling in financial time series / Jürgen Franke, Jens-Peter Kreiss and Enno Mammen ; Modeling financial high frequency data using point processes / Luc Bauwens and Nikolaus Hautsch --
Special topics : simulation based methods. Resampling and subsampling for financial time series / Efstathios Paparoditis and Dimitris N. Politis ; Markov chain Monte Carlo / Michael Johannes and Nicholas Polson ; Particle filtering / Michael Johannes and Nicholas Polson.
|Responsibility:||[edited by] Torben G. Andersen [and others].|
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