Handbook of Financial Time Series by Torben Gustav Andersen
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Handbook of Financial Time Series

Handbook of Financial Time Series


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About the Book

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.


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Product Details
  • ISBN-13: 9783662518373
  • Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Binding: Paperback
  • Height: 234 mm
  • No of Pages: 1050
  • Series Title: English
  • Weight: 1527 gr
  • ISBN-10: 3662518376
  • Publisher Date: 23 Aug 2016
  • Edition: Softcover reprint of the original 1st ed. 2009
  • Language: English
  • Returnable: N
  • Spine Width: 54 mm
  • Width: 156 mm


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