TY  - BOOK
AU  - Andersen,Torben G.
TI  - Handbook of Financial Time Series
SN  - 9783540712961 (hbk.)
AV  - HG176.5 .H35 2009
U1  - 332.0151955 22
PY  - 2009///
CY  - Berlin
PB  - Springer
KW  - Finance
KW  - Statistical methods
KW  - Mathematical models
KW  - Time-series analysis
KW  - GARCH model
KW  - Stochastic models
N1  - Includes bibliographical references and index; 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 properties; 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; Parametric inference for discretely sampled stochastic differential equations; Michael Sørensen; Realized volatility; Estimating volatility in the presence of market microstructure noise; a review of the theory and practical considerations; Yacine Aït-Sahalia and Per A. Mykland; Option pricing; Jan Kallsen; An overview of interest rate theory; Tomas Björk; 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. Patton; 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 subsampling 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
ER  -