Coverart for item
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]

Label
Handbook of financial time series
Title
Handbook of financial time series
Statement of responsibility
edited by Torben G. Andersen [and others]
Contributor
Subject
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]
Instantiates
Publication
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]
Publication
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

Library Locations

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      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
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