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Handbook of financial time series

Author: Torben G Andersen
Publisher: Berlin : Springer, ©2009.
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:
Offers an overview of the field financial time series and covers various relevant topics from a statistical and an econometrical point of view. This handbook presents among others various aspects of the important GARCH and Stochastic Volatility classes, like for example distribution properties, estimation, forecasting and extreme value theory.
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Document Type: Book
All Authors / Contributors: Torben G Andersen
ISBN: 9783540712961 3540712968
OCLC Number: 339112015
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].
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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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