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Handbook of Financial Time Series

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Cover of 'Handbook of Financial Time Series'

Table of Contents

  1. Altmetric Badge
    Book Overview
  2. Altmetric Badge
    Chapter 1 An Introduction to Univariate GARCH Models
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    Chapter 2 Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
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    Chapter 3 ARCH(∞) Models and Long Memory Properties
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    Chapter 4 A Tour in the Asymptotic Theory of GARCH Estimation
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    Chapter 5 Practical Issues in the Analysis of Univariate GARCH Models
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    Chapter 6 Semiparametric and Nonparametric ARCH Modeling
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    Chapter 7 Varying Coefficient GARCH Models
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    Chapter 8 Extreme Value Theory for GARCH Processes
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    Chapter 9 Multivariate GARCH Models
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    Chapter 10 Stochastic Volatility: Origins and Overview
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    Chapter 11 Probabilistic Properties of Stochastic Volatility Models
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    Chapter 12 Moment–Based Estimation of Stochastic Volatility Models
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    Chapter 13 Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
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    Chapter 14 Stochastic Volatility Models with Long Memory
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    Chapter 15 Extremes of Stochastic Volatility Models
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    Chapter 16 Multivariate Stochastic Volatility
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    Chapter 17 An Overview of Asset–Price Models
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    Chapter 18 Ornstein–Uhlenbeck Processes and Extensions
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    Chapter 19 Jump–Type Lévy Processes
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    Chapter 20 Lévy–Driven Continuous–Time ARMA Processes
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    Chapter 21 Continuous Time Approximations to GARCH and Stochastic Volatility Models
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    Chapter 22 Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
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    Chapter 23 Parametric Inference for Discretely Sampled Stochastic Differential Equations
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    Chapter 24 Realized Volatility
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    Chapter 25 Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
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    Chapter 26 Option Pricing
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    Chapter 27 An Overview of Interest Rate Theory
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    Chapter 28 Extremes of Continuous–Time Processes.
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    Chapter 29 Cointegration: Overview and Development
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    Chapter 30 Time Series with Roots on or Near the Unit Circle
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    Chapter 31 Fractional Cointegration
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    Chapter 32 Different Kinds of Risk
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    Chapter 33 Value–at–Risk Models
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    Chapter 34 Copula–Based Models for Financial Time Series
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    Chapter 35 Credit Risk Modeling
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    Chapter 36 Evaluating Volatility and Correlation Forecasts
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    Chapter 37 Structural Breaks in Financial Time Series
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    Chapter 38 An Introduction to Regime Switching Time Series Models
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    Chapter 39 Model Selection
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    Chapter 40 Nonparametric Modeling in Financial Time Series
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    Chapter 41 Handbook of Financial Time Series
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    Chapter 42 Resampling and Subsampling for Financial Time Series
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    Chapter 43 Markov Chain Monte Carlo
  45. Altmetric Badge
    Chapter 44 Particle Filtering
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Title
Handbook of Financial Time Series
Published by
Springer Berlin Heidelberg, April 2009
DOI 10.1007/978-3-540-71297-8
ISBNs
978-3-54-071296-1, 978-3-54-071297-8
Editors

Mikosch, Thomas, Kreiß, Jens-Peter, Davis, Richard A., Andersen, Torben Gustav

X Demographics

X Demographics

The data shown below were collected from the profile of 1 X user who shared this research output. Click here to find out more about how the information was compiled.
Mendeley readers

Mendeley readers

The data shown below were compiled from readership statistics for 255 Mendeley readers of this research output. Click here to see the associated Mendeley record.

Geographical breakdown

Country Count As %
United States 4 2%
Malaysia 3 1%
Brazil 3 1%
Colombia 2 <1%
France 2 <1%
Japan 2 <1%
Netherlands 1 <1%
Italy 1 <1%
Vietnam 1 <1%
Other 12 5%
Unknown 224 88%

Demographic breakdown

Readers by professional status Count As %
Student > Ph. D. Student 78 31%
Student > Master 54 21%
Researcher 30 12%
Professor > Associate Professor 16 6%
Professor 15 6%
Other 44 17%
Unknown 18 7%
Readers by discipline Count As %
Economics, Econometrics and Finance 101 40%
Mathematics 40 16%
Business, Management and Accounting 30 12%
Computer Science 18 7%
Engineering 15 6%
Other 25 10%
Unknown 26 10%