Titel: | Handbook of financial time series |
Mitwirkende: | Andersen, Torben G. [Hrsg.] |
| Davis, Richard A. |
| Kreiß, Jens-Peter |
| Mikosch, Thomas |
| Davis, Richard Alan [Hrsg.] |
| Kreiß, Jens-Peter [Hrsg.] |
| Mikosch, Thomas [Hrsg.] |
Verf.angabe: | Torben G. Andersen; Richard A. Davis; Jens-Peter Kreiß; Thomas Mikosch, eds. |
Verlagsort: | Berlin, Heidelberg |
Verlag: | Springer |
Jahr: | 2009 |
Umfang: | XXIX, 1050 S. |
Illustrationen: | graph. Darst. |
Format: | 235 mm x 155 mm |
Fussnoten: | Literaturangaben |
Inhalt: | 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 |
Bestellnr.: | 12032365 |
URL: | Inhaltsverzeichnis: http://www.gbv.de/dms/ilmenau/toc/537893334.PDF |
| Cover: http://swbplus.bsz-bw.de/bsz266911625cov.htm |
| Kapitel 2: http://swbplus.bsz-bw.de/bsz266911625kap.htm |
| Inhaltsverzeichnis ; Verlag: http://swbplus.bsz-bw.de/bsz266911625inh.htm |
| Inhaltstext: https://zbmath.org/?q=an:1162.91004 |
Schlagwörter: | (s)Kreditmarkt / (s)Zeitreihenanalyse |
Dokumenttyp: | Aufsatzsammlung |
Sprache: | eng |
Reproduktion: | Online-Ausg.: Handbook of Financial Time Series. - Berlin, Heidelberg: Springer Berlin Heidelberg, 2009. - Online-Ressource (digital) |
| Online-Ausg.: Handbook of financial time series. - Berlin, Heidelberg: Springer, 2009. - XXIX, 1050 S |
Sonstige Nr.: | Best.-Nr.: 12032365 |
RVK-Notation: | SK 845 |
| QH 237 |
K10plus-PPN: | 537893334 |
Handbook of financial time series / Andersen, Torben G. [Hrsg.]; 2009