Handbook of Financial Time Series
(Sprache: Englisch)
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.
Experts present among others various aspects of the important GARCH and Stochastic...
Experts present among others various aspects of the important GARCH and Stochastic...
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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.
Experts present among others various aspects of the important GARCH and Stochastic Volatility classes, like for example distribution properties, estimation, forecasting and extreme value theory. Moreover, since processes in continuous time and cointegration play a very essential role in financial modelling, both areas are addressed in detail. Finally, recent developments in nonparametric methods, copulas, structural breaks, high frequency data and many more topics are included in the handbook.
Many outstanding authors have contributed to this encyclopaedia, making the volume an excellent source of reference for scientists and researchers working in the field of financial time series.
Experts present among others various aspects of the important GARCH and Stochastic Volatility classes, like for example distribution properties, estimation, forecasting and extreme value theory. Moreover, since processes in continuous time and cointegration play a very essential role in financial modelling, both areas are addressed in detail. Finally, recent developments in nonparametric methods, copulas, structural breaks, high frequency data and many more topics are included in the handbook.
Many outstanding authors have contributed to this encyclopaedia, making the volume an excellent source of reference for scientists and researchers working in the field of financial time series.
Klappentext zu „Handbook of Financial Time Series “
The Handbook of Financial Time Series, edited by Andersen, Davis, Kreiss and Mikosch, is an impressive collection of survey articles by many of the leading contributors to the ?eld. These articles are mostly very clearly wr- ten and present a sweep of the literature in a coherent pedagogical manner. The level of most of the contributions is mathematically sophisticated, and I imagine many of these chapters will ?nd their way onto graduate reading lists in courses in ?nancial economics and ?nancial econometrics. In reading through these papers, I found many new insights and presentations even in areas that I know well. The book is divided into ?ve broad sections: GARCH-Modeling, Stoch- tic Volatility Modeling, Continuous Time Processes, Cointegration and Unit Roots, and Special Topics. These correspond generally to classes of stoch- tic processes that are applied in various ?nance contexts. However, there are otherthemesthatcutacrosstheseclasses.Thereareseveralpapersthatca- fully articulate the probabilistic structure of these classes, while others are morefocusedonestimation.Stillothersderivepropertiesofextremesforeach class of processes, and evaluate persistence and the extent of long memory. Papers in many cases examine the stability of the process with tools to check for breaks and jumps. Finally there are applications to options, term str- ture, credit derivatives, risk management, microstructure models and other forecasting settings.
Inhaltsverzeichnis zu „Handbook of Financial Time Series “
- Introduction- GARCH-Modelling
- Stochastic Volatility Modelling
- Cointegration
- Continuous Time Processes
- Miscellanea
Bibliographische Angaben
- XXIX, 1050 Seiten, Maße: 16,7 x 24,3 cm, Gebunden, Englisch
- Herausgegeben: Torben Gustav Andersen, Richard A. Davis, Jens-Peter Kreiß, Thomas Mikosch
- Verlag: Springer Berlin
- ISBN-10: 3540712968
- ISBN-13: 9783540712961
- Erscheinungsdatum: 01.04.2009
Sprache:
Englisch
Rezension zu „Handbook of Financial Time Series “
From the reviews:"Academic researchers and graduate students in statistics, economics and financial engineering, Industry banking, investments and insurance. ... The handbook is clearly written and provides a broad and detailed overview of the major topics within financial time series. ... serves as a good reference for the financial time series methods and will be invaluable to many researchers. It also excels in giving very clear and concise description of a number of important methodologies." (Lasse Koskinen, International Statistical Review, Vol. 78 (1), 2010)
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