Coverart for item
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
UKM
Illustrations
illustrations
Index
index present
Literary form
non fiction
Nature of contents
bibliography
http://library.link/vocab/relatedWorkOrContributorName
Andersen, Torben G.
http://library.link/vocab/subjectName
  • Finance
  • Time-series analysis
Label
Handbook of financial time series, edited by Torben G. Andersen ... [et al.]
Instantiates
Publication
Bibliography note
Includes bibliographical references and index
Contents
  • Christian Francq and 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 and Vladimir Spokoiny
  • Extreme Value Theory for GARCH Processes
  • Richard A. Davis and Thomas Mikosch
  • Multivariate GARCH Models
  • Introduction / Torben G. Andersen, Richard A. Davis and Jens-Peter Kreiss and Thomas Mikosch
  • Annastiina Silvennoinen and Timo Terasvirta
  • 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
  • An Introduction to Univariate GARCH Models
  • 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
  • An Overview of Asset-Price Models
  • Peter J. Brockwell
  • Ornstein-Uhlenbeck Processes and Extensions
  • Ross A. Maller, Gernot Miiller and Alex Szimayer
  • Jump-Type Levy Processes
  • Timo Terasvirta
  • Ernst Eberlein
  • Levy-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 Sorensen
  • Realized Volatility
  • Stationarity, Mixing, Distributional Properties and Moments of GARCH (p, q)-Processes
  • Torben G. Andersen and Luca Benzoni
  • Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
  • Yacine Ait-Sahalia and 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
  • Alexander M. Lindner
  • Soren Johansen
  • Time Series with Roots on or Near the Unit Circle
  • Ngai Hang Chan
  • Fractional Cointegration
  • Willa W. Chen and Clifford M. Hurvich
  • Different Kinds of Risk
  • Paul Embrechts, Hansjorg Furrer and Roger Kaufmann
  • Value-at-Risk Models
  • Peter Christoffersen
  • Copula-Based Models for Financial Time Series
  • ARCH([infinity]) Models and Long Memory Properties
  • Andrew J. Patton
  • Credit Risk Modeling
  • David Lando
  • 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 Models
  • Theis Lange and Anders Rahbek
  • Model Selection
  • Liudas Giraitis, Remigijus Leipus and Donatas Surgailis
  • Hannes Leeb and Benedikt M. Potscher
  • Nonparametric Modeling in Financial Time Series
  • Jurgen Franke, Jens-Peter Kreiss and Enno Mammen
  • Modelling Financial High Frequency Data Using Point Processes
  • Luc Bauwens and Nikolaus Hautsch
  • Resampling and Subsampling for Financial Time Series
  • Efstathios Paparoditis and Dimitris N. Politis
  • Markov Chain Monte Carlo
  • Michael Johannes and Nicholas Poison
  • Particle Filtering
  • A Tour in the Asymptotic Theory of GARCH Estimation
  • Michael Johannes and Nicholas Poison
Control code
ocn339112015
Dimensions
24 cm
Extent
xxix, 1050 p.
Isbn
9783540712961
Isbn Type
(hbk.)
Other physical details
ill.
System control number
(OCoLC)339112015
Label
Handbook of financial time series, edited by Torben G. Andersen ... [et al.]
Publication
Bibliography note
Includes bibliographical references and index
Contents
  • Christian Francq and 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 and Vladimir Spokoiny
  • Extreme Value Theory for GARCH Processes
  • Richard A. Davis and Thomas Mikosch
  • Multivariate GARCH Models
  • Introduction / Torben G. Andersen, Richard A. Davis and Jens-Peter Kreiss and Thomas Mikosch
  • Annastiina Silvennoinen and Timo Terasvirta
  • 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
  • An Introduction to Univariate GARCH Models
  • 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
  • An Overview of Asset-Price Models
  • Peter J. Brockwell
  • Ornstein-Uhlenbeck Processes and Extensions
  • Ross A. Maller, Gernot Miiller and Alex Szimayer
  • Jump-Type Levy Processes
  • Timo Terasvirta
  • Ernst Eberlein
  • Levy-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 Sorensen
  • Realized Volatility
  • Stationarity, Mixing, Distributional Properties and Moments of GARCH (p, q)-Processes
  • Torben G. Andersen and Luca Benzoni
  • Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
  • Yacine Ait-Sahalia and 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
  • Alexander M. Lindner
  • Soren Johansen
  • Time Series with Roots on or Near the Unit Circle
  • Ngai Hang Chan
  • Fractional Cointegration
  • Willa W. Chen and Clifford M. Hurvich
  • Different Kinds of Risk
  • Paul Embrechts, Hansjorg Furrer and Roger Kaufmann
  • Value-at-Risk Models
  • Peter Christoffersen
  • Copula-Based Models for Financial Time Series
  • ARCH([infinity]) Models and Long Memory Properties
  • Andrew J. Patton
  • Credit Risk Modeling
  • David Lando
  • 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 Models
  • Theis Lange and Anders Rahbek
  • Model Selection
  • Liudas Giraitis, Remigijus Leipus and Donatas Surgailis
  • Hannes Leeb and Benedikt M. Potscher
  • Nonparametric Modeling in Financial Time Series
  • Jurgen Franke, Jens-Peter Kreiss and Enno Mammen
  • Modelling Financial High Frequency Data Using Point Processes
  • Luc Bauwens and Nikolaus Hautsch
  • Resampling and Subsampling for Financial Time Series
  • Efstathios Paparoditis and Dimitris N. Politis
  • Markov Chain Monte Carlo
  • Michael Johannes and Nicholas Poison
  • Particle Filtering
  • A Tour in the Asymptotic Theory of GARCH Estimation
  • Michael Johannes and Nicholas Poison
Control code
ocn339112015
Dimensions
24 cm
Extent
xxix, 1050 p.
Isbn
9783540712961
Isbn Type
(hbk.)
Other physical details
ill.
System control number
(OCoLC)339112015

Library Locations

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      Gate 1, East Precinct, Albany Expressway (SH17), Albany, Auckland, 0632, NZ
      -36.733330 174.700641
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