Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode |
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E-Books | Biblioteca da FCTUNL Online | Não Ficção | HG176.5.SPR FCT 82165 (Browse shelf) | 1 | Available |
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HG174.SPR FCT 82057 Tychastic measure of viability risk | HG176.5.SPR FCT 81403 Statistics for business and financial economics | HG176.5.SPR FCT 81905 Mathematical and statistical methods for actuarial sciences and finance | HG176.5.SPR FCT 82165 Handbook of financial time series | HG176.5.SPR FCT 82487 Statistical tools for finance and insurance | HG176.5.SPR FCT 82792 Financial and insurance formulas | HG176.5.SPR FCT 82870 Mathematical and statistical methods for actuarial sciences and finance |
Colocação: Online
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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