The Resource Handbook of financial time series, edited by Torben G. Andersen ... [et al.]

Handbook of financial time series, edited by Torben G. Andersen ... [et al.]

Label
Handbook of financial time series
Title
Handbook of financial time series
Statement of responsibility
edited by Torben G. Andersen ... [et al.]
Contributor
Subject
Language
eng
Cataloging source
StDuBDS
Dewey number
332.0151955
Illustrations
illustrations
Index
index present
LC call number
HG176.5
Literary form
non fiction
Nature of contents
bibliography
Label
Handbook of financial time series, edited by Torben G. Andersen ... [et al.]
Publication
Bibliography note
Includes bibliographical references and index
http://library.link/vocab/branchCode
  • zbnus
  • mel
  • net
Contents
  • Contents note continued: Credit Risk Modeling / David Lando -- Evaluating Volatility and Correlation Forecasts / Kevin Sheppard / Andrew J. Patton -- Structural Breaks in Financial Time Series / Elena Andreou / Eric Ghysels -- An Introduction to Regime Switching Time Series Models / Theis Lange / Anders Rahbek -- Model Selection / Benedikt M. Potscher / Hannes Leeb -- Nonparametric Modeling in Financial Time Series / Jens-Peter Kreiss / Enno Mammen / Jurgen Franke -- Modelling Financial High Frequency Data Using Point Processes / Nikolaus Hautsch / Luc Bauwens -- Resampling and Subsampling for Financial Time Series / Dimitris N. Politis / Efstathios Paparoditis -- Markov Chain Monte Carlo / Michael Johannes / Nicholas Poison -- Particle Filtering / Nicholas Poison / Michael Johannes
  • Contents note continued: Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance / Jun Yu / Peter C. B. Phillips -- Parametric Inference for Discretely Sampled Stochastic Differential Equations / Michael Sorensen -- Realized Volatility / Torben G. Andersen / Luca Benzoni -- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations / Yacine Ait-Sahalia / Per A. Mykland -- Option Pricing / Jan Kallsen -- An Overview of Interest Rate Theory / Tomas Bjork -- Extremes of Continuous-Time Processes / Vicky Fasen -- Cointegration: Overview and Development / Soren Johansen -- Time Series with Roots on or Near the Unit Circle / Ngai Hang Chan -- Fractional Cointegration / Willa W. Chen / Clifford M. Hurvich -- Different Kinds of Risk / Paul Embrechts / Hansjorg Furrer / Roger Kaufmann -- Value-at-Risk Models / Peter Christoffersen -- Copula-Based Models for Financial Time Series / Andrew J. Patton --
  • Contents note continued: Probabilistic Properties of Stochastic Volatility Models / Thomas Mikosch / Richard A. Davis -- Moment-Based Estimation of Stochastic Volatility Models / Eric Renault -- Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility / Siem Jan Koopman / Borus Jungbacker -- Stochastic Volatility Models with Long Memory / Clifford M. Hurvich / Philippe Soulier -- Extremes of Stochastic Volatility Models / Thomas Mikosch / Richard A. Davis -- Multivariate Stochastic Volatility / Yasuhiro Omori / Manabu Asai / Siddhartha Chib -- An Overview of Asset-Price Models / Peter J. Brockwell -- Ornstein-Uhlenbeck Processes and Extensions / Gernot Miiller / Alex Szimayer / Ross A. Maller -- Jump-Type Levy Processes / Ernst Eberlein -- Levy-Driven Continuous-Time ARMA Processes / Peter J. Brockwell -- Continuous Time Approximations to GARCH and Stochastic Volatility Models / Alexander M. Lindner --
  • Machine generated contents note: Introduction / Torben G. Andersen / Richard A. Davis / Jens-Peter Kreiss and Thomas Mikosch -- An Introduction to Univariate GARCH Models / Timo Terasvirta -- Stationarity, Mixing, Distributional Properties and Moments of GARCH (p, q)-Processes / Alexander M. Lindner -- ARCH([infinity]) Models and Long Memory Properties / Donatas Surgailis / Remigijus Leipus / Liudas Giraitis -- A Tour in the Asymptotic Theory of GARCH Estimation / Christian Francq / Jean-Michel Zakoian -- Practical Issues in the Analysis of Univariate GARCH Models / Eric Zivot -- Semiparametric and Nonparametric ARCH Modeling / Oliver B. Linton -- Varying Coefficient GARCH Models / Pavel Cizek / Vladimir Spokoiny -- Extreme Value Theory for GARCH Processes / Richard A. Davis and Thomas Mikosch -- Multivariate GARCH Models / Timo Terasvirta / Annastiina Silvennoinen -- Stochastic Volatility: Origins and Overview / Neil Shephard / Torben G. Andersen --
Control code
000044230932
Dimensions
24 cm
Extent
xxix, 1050 p.
Isbn
9783540712961
Other physical details
ill.
http://library.link/vocab/recordID
.b23872913
System control number
  • (OCoLC)339112015
  • retro3540712968

Library Locations

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    • Deakin University Library - Geelong Waurn Ponds CampusBorrow it
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      -38.195656 144.304955
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