Handbook of Financial Time Series - Hardcover

Hardcover

ISBN 10: 3540712968 ISBN 13: 9783540712961

Publisher: Springer, 2009

Synopsis

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.

About this title

Product Description:

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.

Review:

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)

About this edition

• Publisher: Springer
• Publication date: 2009
• ISBN 10: 3540712968
• ISBN 13: 9783540712961
• Binding: Hardcover
• Number of pages: 1079
• Editor: Andersen Torben Gustav, Davis Richard A., Kreiß Jens-Peter, Mikosch Thomas V.