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Inhaltsverzeichnis
Recent Developments in GARCH Modeling.- An Introduction to Univariate GARCH Models.- Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)#x2013;Processes.- ARCH(#x221E;) Models and Long Memory Properties.- A Tour in the Asymptotic Theory of GARCH Estimation.- Practical Issues in the Analysis of Univariate GARCH Models.- Semiparametric and Nonparametric ARCH Modeling.- Varying Coefficient GARCH Models.- Extreme Value Theory for GARCH Processes.- Multivariate GARCH Models.- Recent Developments in Stochastic Volatility Modeling.- Stochastic Volatility: Origins and Overview.- Probabilistic Properties of Stochastic Volatility Models.- Moment#x2013;Based Estimation of Stochastic Volatility Models.- Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility.- Stochastic Volatility Models with Long Memory.- Extremes of Stochastic Volatility Models.- Multivariate Stochastic Volatility.- Topics in Continuous Time Processes.- An Overview of Asset–Price Models.- Ornstein–Uhlenbeck Processes and Extensions.- Jump–Type Lévy Processes.- Lévy–Driven Continuous–Time ARMA Processes.- Continuous Time Approximations to GARCH and Stochastic Volatility Models.- Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance.- Parametric Inference for Discretely Sampled Stochastic Differential Equations.- Realized Volatility.- Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations.- Option Pricing.- An Overview of Interest Rate Theory.- Extremes of Continuous–Time Processes..- Topics in Cointegration and Unit Roots.- Cointegration: Overview and Development.- Time Series with Roots on or Near the Unit Circle.- Fractional Cointegration.- Special Topics –Risk.- Different Kinds of Risk.- Value–at–Risk Models.- Copula–Based Models for Financial Time Series.- Credit Risk Modeling.- Special Topics – Time Series Methods.- Evaluating Volatility and Correlation Forecasts.- Structural Breaks in Financial Time Series.- An Introduction to Regime Switching Time Series Models.- Model Selection.- Nonparametric Modeling in Financial Time Series.- Modelling Financial High Frequency Data Using Point Processes.- Special Topics – Simulation Based Methods.- Resampling and Subsampling for Financial Time Series.- Markov Chain Monte Carlo.- Particle Filtering.
Sprache Englisch ● Format PDF ● Seiten 1050 ● ISBN 9783540712978 ● Dateigröße 8.2 MB ● Herausgeber Torben Gustav Andersen & Richard A. Davis ● Verlag Springer Berlin ● Ort Heidelberg ● Land DE ● Erscheinungsjahr 2009 ● herunterladbar 24 Monate ● Währung EUR ● ID 2163198 ● Kopierschutz Soziales DRM
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