The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometricalpoint of view. Experts present among others various aspects of the important GARCH and Stochastic Volatility classes, like for example distribution properties, estimation, forecasting and extreme value theory. Moreover, since processes in continuous time and cointegration play a very essential role in financial modelling, both areas are addressed in detail. Finally, 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 encyclopaedia, making the volume an excellent source of reference for scientists and researchers working in the field of financial time series. Editors very well known in their area of research Many outstanding contributors Preamble by Nobel prize winner Robert F. Engle INDICE: Introduction.- GARCH-Modelling.- Stochastic Volatility Modelling.-Cointegration.- Continuous Time Processes.- Miscellanea.
- ISBN: 978-3-540-71296-1
- Editorial: Springer
- Encuadernacion: Cartoné
- Páginas: 750
- Fecha Publicación: 01/07/2008
- Nº Volúmenes: 1
- Idioma: Inglés