The Handbook of Financial Time Series, edited by Andersen, Davis, Kreiss and Mikosch, is an impressive collection of survey articles by many of the leading contributors to the ?eld. These articles are mostly very clearly wr- ten and present a sweep of the literature in a coherent pedagogical manner. The level of most of the contributions is mathematically sophisticated, and I imagine many of these chapters will ?nd their way onto graduate reading lists in courses in ?nancial economics and ?nancial econometrics. In reading through these papers, I found many new insights and presentations even in areas that I know well. The book is divided into ?ve broad sections: GARCH-Modeling, Stoch- tic Volatility Modeling, Continuous Time Processes, Cointegration and Unit Roots, and Special Topics. These correspond generally to classes of stoch- tic processes that are applied in various ?nance contexts. However, there are otherthemesthatcutacrosstheseclasses.Thereareseveralpapersthatca- fully articulate the probabilistic structure of these classes, while others are morefocusedonestimation.Stillothersderivepropertiesofextremesforeach class of processes, and evaluate persistence and the extent of long memory. Papers in many cases examine the stability of the process with tools to check for breaks and jumps. Finally there are applications to options, term str- ture, credit derivatives, risk management, microstructure models and other forecasting settings.
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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 econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.
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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.
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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 time series.
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From the reviews:“Academic researchers and graduate students in statistics, economics and financial engineering, Industry banking, investments and insurance. … The handbook is clearly written and provides a broad and detailed overview of the major topics within financial time series. … serves as a good reference for the financial time series methods and will be invaluable to many researchers. It also excels in giving very clear and concise description of a number of important methodologies.” (Lasse Koskinen, International Statistical Review, Vol. 78 (1), 2010)
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Editors very well known in their area of researchMany outstanding contributorsPreamble by Nobel prize winner Robert F. EngleIncludes supplementary material: sn.pub/extras

Produktdetaljer

ISBN
9783540712961
Publisert
2009-04-01
Utgiver
Vendor
Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Høyde
235 mm
Bredde
155 mm
Aldersnivå
Research, P, 06
Språk
Product language
Engelsk
Format
Product format
Innbundet