The Resource Handbook of financial time series, edited by Torben G. Andersen [and others]
Handbook of financial time series, edited by Torben G. Andersen [and others]
Resource Information
The item Handbook of financial time series, edited by Torben G. Andersen [and others] represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.This item is available to borrow from 1 library branch.
Resource Information
The item Handbook of financial time series, edited by Torben G. Andersen [and others] represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in University of Missouri Libraries.
This item is available to borrow from 1 library branch.
- 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
- Language
- eng
- Extent
- 1 online resource (xxix, 1,050 pages)
- 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 processes / 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
- 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. Batton
- 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 sampling 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
- Isbn
- 9783540712978
- Label
- Handbook of financial time series
- Title
- Handbook of financial time series
- Statement of responsibility
- edited by Torben G. Andersen [and others]
- Language
- eng
- 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
- Cataloging source
- GW5XE
- Dewey number
- 332.0151955
- Illustrations
- illustrations
- Index
- index present
- LC call number
- HG176.5
- LC item number
- .H36 2009
- Literary form
- non fiction
- Nature of contents
-
- dictionaries
- bibliography
- NLM call number
- Online Book
- http://library.link/vocab/relatedWorkOrContributorName
- Andersen, Torben G.
- Series statement
- Mathematics and Statistics Springer
- http://library.link/vocab/subjectName
-
- Finance
- Time-series analysis
- BUSINESS & ECONOMICS
- Finance
- Time-series analysis
- Finance
- Time-series analysis
- Label
- Handbook of financial time series, edited by Torben G. Andersen [and others]
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- multicolored
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- 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 processes / 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 -- 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. Batton -- 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 sampling 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
- Control code
- 405547129
- Dimensions
- unknown
- Extent
- 1 online resource (xxix, 1,050 pages)
- Form of item
- online
- Isbn
- 9783540712978
- Lccn
- 2008943984
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other physical details
- illustrations.
- http://library.link/vocab/ext/overdrive/overdriveId
- 978-3-540-71296-1
- Specific material designation
- remote
- System control number
- (OCoLC)405547129
- Label
- Handbook of financial time series, edited by Torben G. Andersen [and others]
- Bibliography note
- Includes bibliographical references and index
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- multicolored
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- 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 processes / 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 -- 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. Batton -- 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 sampling 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
- Control code
- 405547129
- Dimensions
- unknown
- Extent
- 1 online resource (xxix, 1,050 pages)
- Form of item
- online
- Isbn
- 9783540712978
- Lccn
- 2008943984
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other physical details
- illustrations.
- http://library.link/vocab/ext/overdrive/overdriveId
- 978-3-540-71296-1
- Specific material designation
- remote
- System control number
- (OCoLC)405547129
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.missouri.edu/portal/Handbook-of-financial-time-series-edited-by/uPhLGY7ac8s/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.missouri.edu/portal/Handbook-of-financial-time-series-edited-by/uPhLGY7ac8s/">Handbook of financial time series, edited by Torben G. Andersen [and others]</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.missouri.edu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.missouri.edu/">University of Missouri Libraries</a></span></span></span></span></div>
