Handbook of financial time series
Gespeichert in:
| Weitere Verfasser: | , , , |
|---|---|
| Dokumenttyp: | Edited Volume |
| Sprache: | Englisch |
| Veröffentlicht: |
Berlin, Heidelberg
Springer
2009
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| Volumes / Articles: | Show Volumes / Articles. |
| Schlagworte: | |
| Online-Zugang: | Cover: https://swbplus.bsz-bw.de/bsz266911625cov.jpg Kapitel 2: https://swbplus.bsz-bw.de/bsz266911625kap.htm Inhaltsverzeichnis: https://swbplus.bsz-bw.de/bsz266911625inh.htm Verlag, Zentralblatt MATH, Inhaltstext: https://zbmath.org/?q=an:1162.91004 
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| Verfasserangaben: | Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiß; Thomas Mikosch, eds. |
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| 245 | 0 | 0 | |a Handbook of financial time series |c Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiß; Thomas Mikosch, eds. |
| 264 | 1 | |a Berlin, Heidelberg |b Springer |c 2009 | |
| 300 | |a XXIX, 1050 S. |b graph. Darst. |c 235 mm x 155 mm | ||
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| 500 | |a Literaturangaben | ||
| 505 | 8 | 0 | |t Recent developments in GARCH modeling.An introduction to univariate GARCH models |r Timo Teräsvirta ;Stationarity, mixing, distributional properties and moments of GARCH (p, q) processes |
| 505 | 8 | 0 | |t Recent developments in stochastic volatility modeling.Stochastic volatility :origins and overview |r Neil Shephard and Torben G. Andersen ;Probabilistic properties of stochastic volatility models |
| 505 | 8 | 0 | |t Topics in continuous time processes.An overview of asset-price models |r Peter J. Brockwell ;Ornstein-Uhlenbeck processes and extensions |
| 505 | 8 | 0 | |t Topics in cointegration and unit roots.Cointegration :overview and development |r Søren Johansen ;Time series with roots on or near the unit circle |
| 505 | 8 | 0 | |t Special topics: risk.Different kinds of risk |r Paul Embrechts, Hansjörg Furrer and Roger Kaufmann ;Value-at-risk models |
| 505 | 8 | 0 | |t Special topics :time series methods.Evaluating volatility and correlation forecasts |r Andrew J. Patton and Kevin Sheppard ;Structural breaks in financial time series |
| 505 | 8 | 0 | |t Special topics :simulation based methods.Resampling and subsampling for financial time series |r Efstathios Paparoditis and Dimitris N. Politis ;Markov chain Monte Carlo |
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| 650 | 0 | |a Finance |x Statistical methods | |
| 650 | 0 | |a Finance |x Mathematical models | |
| 650 | 0 | |a GARCH model | |
| 650 | 0 | |a Stochastic models | |
| 650 | 0 | |a Finance |x Econometric models | |
| 650 | 0 | |a Time-series analysis | |
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