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Handbook of Financial Time Series (Hardcover, 2009 ed.)
Loot Price: R9,196
Discovery Miles 91 960
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Handbook of Financial Time Series (Hardcover, 2009 ed.)
Expected to ship within 12 - 17 working days
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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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