Handbook of Financial Time Series (Hardcover)

Torben Gustav Andersen

ISBN 10: 3540712968 / ISBN 13: 9783540712961

Published by Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin, 2009

About this Item

Hardcover. The Handbook of Financial Time Series provides 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, the important GARCH and Stochastic Volatility classes, like for example distribution properties, estimation, forecasting and extreme value theory. The book also details processes in continuous time and cointegration since both play a very essential role in financial modeling. In addition, 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 encyclopedia, making the volume an excellent source of reference for scientists and researchers working in the field of financial time series. The Handbook of Financial Time Series provides an up-to-date overview of the field and covers all relevant topics, both from a statistical and an econometrical point of view. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.

Seller Inventory # 9783540712961

Bibliographic Details

• Title: Handbook of Financial Time Series (Hardcover)
• Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, Berlin
• Publication Date: 2009
• Language: English
• ISBN 10: 3540712968
• ISBN 13: 9783540712961
• Binding: Hardcover
• Condition: new

About this title

Synopsis

The Handbook of Financial Time Series provides 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, the important GARCH and Stochastic Volatility classes, like for example distribution properties, estimation, forecasting and extreme value theory. The book also details processes in continuous time and cointegration since both play a very essential role in financial modeling. In addition, 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 encyclopedia, making the volume an excellent source of reference for scientists and researchers working in the field of financial time series.

From the Back Cover

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.