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Handbook of Financial Time Series [Hardcover]

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  • Category: Books (Business & Economics)
  • ISBN-10:  3540712968
  • ISBN-10:  3540712968
  • ISBN-13:  9783540712961
  • ISBN-13:  9783540712961
  • Publisher:  Springer
  • Publisher:  Springer
  • Pages:  1050
  • Pages:  1050
  • Binding:  Hardcover
  • Binding:  Hardcover
  • Pub Date:  01-Jun-2009
  • Pub Date:  01-Jun-2009
  • SKU:  3540712968-11-MING
  • SKU:  3540712968-11-MING
  • Item ID: 100403720
  • Seller: ShopSpell
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  • Delivery by: Dec 10 to Dec 12
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The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

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 AssetPrice Models.- OrnsteinUhlenbeck Processes and Extensions.- JumpType L?vy Processes.- L?vyDriven ContinuousTime 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 ContinuousTime Processes..- Topics in Cointegration and Unit Roots.- Cointegration: Overview and Development.- Time Series with Roots on or Near thel³+
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