Handbook of financial time series
This handbook presents a collection of survey articles from a statistical as well as an econometric point of view on the broad and still rapidly developing field of financial time series. It includes most of the relevant topics in the field, from fundamental probabilistic properties of financial tim...
Enregistré dans:
| Hovedforfatter: | |
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| Andre forfattere: | , |
| Format: | Livre numérique |
| Sprog: | Anglais |
| Udgivet: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Online adgang: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Kommentar: |
Description d'après consultation du 26 mars 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Handbook of financial time series, edited by Torben G. Andersen, Richard A. Davis, Jens-Peter Kreiß [et al], Berlin, Springer, 2009, 1 vol. (XXIX-1050 p.), 978-3-540-71296-1 |
Indholdsfortegnelse:
- 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 Lévy Processes Lévy 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