Handbook of financial time series
Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiß; Thomas Mikosch, eds.
| Year of publication: |
2009
|
|---|---|
| Other Persons: | Andersen, Torben (ed.) ; Davis, Richard A. (ed.) ; Kreiß, Jens-Peter (ed.) ; Mikosch, Thomas (ed.) |
| Publisher: |
Berlin, Heidelberg : Springer |
| Subject: | Finanzmarkt | Financial market | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Volatilität | Volatility | Kreditrisiko | Credit risk | ARCH-Modell | ARCH model | Stochastischer Prozess | Stochastic process | Simulation | Finanzmathematik | Mathematical finance | Kreditmarkt |
| Description of contents: | Table of Contents [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org] |
| Published items: |
44 hits in ECONIS - Online Catalogue of the ZBW
|
| Extent: | XXIX, 1050 S. graph. Darst. 235 mm x 155 mm |
|---|---|
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Aufsatzsammlung ; Sammelwerk ; Collection of articles of several authors |
| Language: | English |
| Notes: | Literaturangaben 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 |
| ISBN: | 3-540-71296-8 ; 978-3-540-71296-1 ; 978-3-540-71297-8 |
| Classification: | Geld, Inflation, Kapitalmarkt ; Methoden und Techniken der Volkswirtschaft ; Methoden und Techniken der Betriebswirtschaft ; Wahrscheinlichkeitsrechnung |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003494231