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[ 洋図書 ] Handbook of financial time series /

Torben G. Andersen ... [et al.], editors. -- Springer, -- c2009. --

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ISBN 3540712968 (hbk.)
ISBN13桁 9783540712961 (hbk.)
テキストの言語 英語                  
分類：NDC10版 338.01
本タイトル Handbook of financial time series /
著者名 Torben G. Andersen ... [et al.], editors.
出版地・頒布地 Berlin :
出版者・頒布者名 Springer,
出版年・頒布年 c2009.
数量 xxix, 1050 p. :
他の形態的事項 ill. ;
大きさ 24 cm.
書誌注記 Includes bibliographical references and index.
内容注記 Recent developments in GARCH modeling. An introduction to univariate GARCH models / Timo Teräsvirta -- Stationarity, mixing, distributional properties and moments of GARCH (p,q) processes / Alexander M. Lindner -- ARCH [infinity symbol] models and long memory processes / Liudas Giraitis, Remigijus Leipus and Donatas Surgailis -- A tour in the asymptotic theory of GARCH estimation / Christian Franq and Jean-Michel Zakoïan -- Practical issues in the analysis of univariate GARCH models / Eric Zivot -- Semiparametric and nonparametric ARCH modeling / Oliver B. Linton -- Varying coefficient GARCH models / Pavel Čížek and Vladimir Spokoiny -- Extreme value theory for GARCH processes / Richard A. Davis and Thomas Mikosch -- Multivariate GARCH models / Annastiina Silvennoinen and Timo Teräsvirta -- Recent developments in stochastic volatility modeling. Stochastic volatility: origins and overview / Neil Shephard and Torben G. Andersen -- Probabilistic properties of stochastic volatility models / Richard A. Davis and Thomas Mikosch -- Moment-based estimation of stochastic volatility models / Eric Renault -- Parameter estimation and practical aspects of modeling stochastic volatility / Borus Jungbacker and Siem Jan Koopman -- Stochastic volatility models with long memory / Clifford M. Hurvich and Philippe Soulier -- Extremes of stochastic volatility models / Richard A. Davis and Thomas Mikosch -- Multivariate stochastic volatility / Siddhartha Chib, Yasuhiro Omori and Manabu Asai -- Topics in continuous time processes. An overview of asset-price models / Peter J. Brockwell -- Ornstein-Uhlenbeck processes and extensions / Ross A. Maller, Gernot Müller and Alez Szimayer -- Jump-type Lévy processes / Ernst Eberlein -- Lévy-driven continuous-time ARMA processes / Peter J. Brockwell -- Continuous time approximations to GARCH and stochastic volatility models / Alexander M. Lindner -- Maximum likelihood and Gaussian estimation of continuous time models in finance / Peter C.B. Phillips and Jun Yu -- Parametric inference for discretely sampled stochastic differential equations / Michael Sørensen -- Realized votality / Torben G. Andersen and Luca Benzoni -- Estimating volatility in the presence of market microstructure noise: a review of the theory and practical considerations / Yacine Aït-Sahalia and Per A. Mykland -- Option pricing / Jan Kllsen -- An overview of interest rate theory / Thomas Björk -- Extremes of continuous time processes / Vicky Fasen -- Topics in cointegration and unit roots -- Cointegration: overview and development / Søren Johansen -- Time series with roots on or near the unit circle / Ngai Hang Chan -- Fractional cointegration / Willa W. Chen and Clifford M. Hurvich -- Special topics: risk. Different kinds of risk / Paul Embrechts, Hansjörg Furrer and Roger Kaufmann -- Value-at-risk models / Peter Christoffersen -- Copula-based models for financial time series / Andrew J. Patton -- Credit risk modeling / David Lando -- Special topics: time series methods. Evaluating volatility and correlation forecasts / Andrew J. Patton and Kevin Sheppard -- Structural breaks in financial time series / Elena Andreou and Eric Ghysels -- An introduction to regime switching time series moels / Theis and Anders Rahbek -- Model selection / Hannes Leeb and Benedikt M. Pötscher -- Nonparametric modeling in financial time series / Jürgen Franke, Jens-Peter Kreiss and Enno Mammen -- Modeling financial high frequency data using point processes / Luc Bauwens and Nikolaus Hautsch -- Special topics: simulation based methods. Resampling and sampling for financial time series / Efstathios Paparoditis and Dimitris N. Politis -- Markov chain Monte Carlo / Michael Johannes and Nicholas Polson -- Particle filtering / Michael Johannes and Nicholas Polson.
著者標目 Andersen, Torben G. (Torben Gustav)
一般件名 Finance -- Statistical methods.
Finance -- Mathematical models.
資料情報1 『Handbook of financial time series /』　Torben G. Andersen ... [et al.], editors.　Springer,　c2009. （所蔵館：中央　 請求記号：F/338.0/H23/H3　 資料コード：5019524077）
URL https://catalog.library.metro.tokyo.lg.jp/winj/opac/switch-detail.do?lang=ja&bibid=1348238084

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