Handbook of financial time series
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| Other Authors: | , , , |
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| Format: | Edited Volume |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer
2009
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| Volumes / Articles: | Show Volumes / Articles. |
| Subjects: | |
| Online Access: | 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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| Author Notes: | Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiß; Thomas Mikosch, eds. |
Table of 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
- Recent developments in stochastic volatility modeling.Stochastic volatility :origins and overview Neil Shephard and Torben G. Andersen ;Probabilistic properties of stochastic volatility models
- Topics in continuous time processes.An overview of asset-price models Peter J. Brockwell ;Ornstein-Uhlenbeck processes and extensions
- Topics in cointegration and unit roots.Cointegration :overview and development Søren Johansen ;Time series with roots on or near the unit circle
- Special topics: risk.Different kinds of risk Paul Embrechts, Hansjörg Furrer and Roger Kaufmann ;Value-at-risk models
- Special topics :time series methods.Evaluating volatility and correlation forecasts Andrew J. Patton and Kevin Sheppard ;Structural breaks in financial time series
- Special topics :simulation based methods.Resampling and subsampling for financial time series Efstathios Paparoditis and Dimitris N. Politis ;Markov chain Monte Carlo