Handbook of Financial Time Series

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 tim...

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Corporate Author: SpringerLink (Online service)
Other Authors: Andersen, Torben Gustav (Editor), Davis, Richard A. (Editor), Kreiß, Jens-Peter (Editor), Mikosch, Thomas V. (Editor)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2009, 2009
Edition:1st ed. 2009
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
Summary: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
Physical Description:XXIX, 1050 p online resource
ISBN:9783540712978