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
- 332.0151955 22
- 330
- HG176.5
Contents:
Call number: Grundsignatur: 2018 A 952PPN: PPN: 537893334
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
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