Handbook of Financial Time Series (Record no. 297123)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 05537nam a22005415i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-540-71297-8 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20160615111952.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 100301s2009 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783540712978 |
| -- | 978-3-540-71297-8 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-3-540-71297-8 |
| Source of number or code | doi |
| 049 ## - LOCAL HOLDINGS (OCLC) | |
| Holding library | Alfaisal Main Library |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | QA276-280 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | PBT |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | K |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS061000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 330.015195 |
| Edition number | 23 |
| 245 10 - TITLE STATEMENT | |
| Title | Handbook of Financial Time Series |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | edited by Thomas Mikosch, Jens-Peter Kreiß, Richard A. Davis, Torben Gustav Andersen. |
| 264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE STATEMENTS | |
| Place of production, publication, distribution, manufacture | Berlin, Heidelberg : |
| Name of producer, publisher, distributor, manufacturer | Springer Berlin Heidelberg, |
| Date of production, publication, distribution, manufacture | 2009. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | XXIX, 1050 p. |
| Other physical details | online resource. |
| 336 ## - CONTENT TYPE | |
| Content Type Term | text |
| Content Type Code | txt |
| Source | rdacontent |
| 337 ## - MEDIA TYPE | |
| Media Type Term | computer |
| Media Type Code | c |
| Source | rdamedia |
| 338 ## - CARRIER TYPE | |
| Carrier Type Term | online resource |
| Carrier Type Code | cr |
| Source | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | 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. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Statistics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economics, Mathematical. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Econometrics. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Statistics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Statistics for Business/Economics/Mathematical Finance/Insurance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Econometrics. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Quantitative Finance. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Statistics and Computing/Statistics Programs. |
| 655 #7 - INDEX TERM--GENRE/FORM | |
| Genre/form data or focus term | Electronic books. |
| Source of term | local |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Mikosch, Thomas. |
| Relator term | editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Kreiß, Jens-Peter. |
| Relator term | editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Davis, Richard A. |
| Relator term | editor. |
| 700 1# - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Andersen, Torben Gustav. |
| Relator term | editor. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783540712961 |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="http://ezproxy.alfaisal.edu/login?url=http://dx.doi.org/10.1007/978-3-540-71297-8">http://ezproxy.alfaisal.edu/login?url=http://dx.doi.org/10.1007/978-3-540-71297-8</a> |
| 912 ## - | |
| -- | ZDB-2-SMA |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Source of classification or shelving scheme | Library of Congress Classification |
| Koha item type | eBooks |
No items available.