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Handbook of financial time series / Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiß; Thomas Mikosch, eds.

Contributor(s): Resource type: Ressourcentyp: BuchBookPublisher number: 12032365Language: English Publisher: Berlin, Heidelberg : Springer, 2009Description: XXIX, 1050 S. : graph. Darst. ; 235 mm x 155 mmISBN:
  • 3540712968
  • 9783540712961
Subject(s): Genre/Form: Additional physical formats: 9783540712978. | Erscheint auch als: Handbook of Financial Time Series. Online-Ausgabe. Berlin, Heidelberg : Springer-Verlag Berlin Heidelberg, 2009. Online-Ressource (digital) | Erscheint auch als: Handbook of financial time series. Online-Ausgabe. Berlin, Heidelberg : Springer, 2009. XXIX, 1050 S.DDC classification:
  • 332.0151955 22
  • 330
MSC: MSC: *91-06 | 91B84 | 62P25 | 62M10 | 00B15RVK: RVK: QH 237 | SK 845 | SK 980LOC classification:
  • HG176.5
Contents:
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
Call number: Grundsignatur: 2018 A 952PPN: PPN: 537893334
Holdings
Item type Home library Shelving location Call number Status Notes Date due Barcode
Freihandbestand Präsenznutzung Fachbibliothek Mathematik Bibliothek / frei aufgestellt Fin./Vers. / Han Not for loan Präsenzexemplar - nicht ausleihbar 36469990090
Handbibliothek Fakultät für Wirtschaftswissenschaften 2018 A 952 Checked out Ausleihe und Einsicht nicht möglich 04.04.2038 52276406090
Total holds: 0
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