Handbook of Financial Time Series

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Paperback / softback

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Description

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.

Release date NZ

August 23rd, 2016

Audience

Professional & Vocational

Contributors

Edited by Jens-Peter Kreiss
Edited by Richard A. Davis
Edited by Thomas V. Mikosch
Edited by Torben Gustav Andersen

Edition

Softcover reprint of the original 1st ed. 2009

Illustrations

XXIX, 1050 p.

Pages

1050

Dimensions

156x234x54

ISBN-13

9783662518373

Product ID

25327565

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Handbook of Financial Time Series

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