Handbook of Financial Time Series

Editors: Andersen, T.G., Davis, R.A., Kreiss, J.-P., Mikosch, Th.V. (Eds.)

  • Editors very well known in their area of research
  • Many outstanding contributors
  • Preamble by Nobel Prize winner Robert F. Engle
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eBook $359.00
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  • ISBN 978-3-540-71297-8
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  • Immediate eBook download after purchase
Hardcover $459.00
price for USA
  • ISBN 978-3-540-71296-1
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About this book

This handbook presents a collection of survey articles from a statistical as well as an econometric point of view on the broad and still rapidly developing field of financial time series. It includes most of the relevant topics in the field, from fundamental probabilistic properties of financial time series models to estimation, forecasting, model fitting, extreme value behavior and multivariate modeling for a wide range of GARCH, stochastic volatility, and continuous-time models. The latter are especially important for modeling high frequency and irregularly observed financial time series and provide the foundation for estimating realized volatility. Cointegration and unit roots, which are extremely important concepts for understanding and modeling nonstationary time series, and several further relevant topics in the field of financial time series (i.e. nonparametric methods, copulas, structural breaks, high frequency data, resampling and bootstrap methods, and model selection for financial time series among others) are included in detail. All contributions are clearly written and provide, in a pedagogical manner, a broad and detailed overview of the major topics within financial time series.

Reviews

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)

Table of contents (44 chapters)

  • An Introduction to Univariate GARCH Models

    Teräsvirta, Timo

    Pages 17-42

  • Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes

    Lindner, Alexander M.

    Pages 43-69

  • ARCH(∞) Models and Long Memory Properties

    Giraitis, Liudas (et al.)

    Pages 71-84

  • A Tour in the Asymptotic Theory of GARCH Estimation

    Francq, Christian (et al.)

    Pages 85-111

  • Practical Issues in the Analysis of Univariate GARCH Models

    Zivot, Eric

    Pages 113-155

Buy this book

eBook $359.00
price for USA (gross)
  • ISBN 978-3-540-71297-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $459.00
price for USA
  • ISBN 978-3-540-71296-1
  • Free shipping for individuals worldwide
  • This title is currently reprinting. You can pre-order your copy now.
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Bibliographic Information

Bibliographic Information
Book Title
Handbook of Financial Time Series
Editors
  • Torben Gustav Andersen
  • Richard A. Davis
  • Jens-Peter Kreiss
  • Thomas V. Mikosch
Copyright
2009
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-71297-8
DOI
10.1007/978-3-540-71297-8
Hardcover ISBN
978-3-540-71296-1
Edition Number
1
Number of Pages
XXIX, 1050
Topics