| 書目名稱 | Handbook of Financial Time Series | | 編輯 | Thomas Mikosch,Jens-Peter Krei?,Torben Gustav Ande | | 視頻video | http://file.papertrans.cn/422/421324/421324.mp4 | | 概述 | Editors very well known in their area of research.Many outstanding contributors.Preamble by Nobel prize winner Robert F. Engle.Includes supplementary material: | | 圖書封面 |  | | 描述 | .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 | | 出版日期 | Book 2009 | | 關(guān)鍵詞 | Econometrics; Finance; Financial Time Series; Markov Chain; Simulation; Statistics; Stochastic Differentia | | 版次 | 1 | | doi | https://doi.org/10.1007/978-3-540-71297-8 | | isbn_softcover | 978-3-662-51837-3 | | isbn_ebook | 978-3-540-71297-8 | | copyright | The Editor(s) (if applicable) and The Author(s), under exclusive license to Springer-Verlag GmbH, DE |
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