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Home > Handbook of Financial Time Series > Nonparametric Modeling in Financial Time Series
Handbook of Financial Time Series |
Thomas Mikosch; Jens-Peter Kreiß; Richard A. Davis; Torben Gustav Andersen
Springer Berlin Heidelberg
Handbook of Financial Time Series
Nonparametric Modeling in Financial Time Series
Authors

Jürgen Franke; Jens-Peter Kreiss; Enno Mammen

ARI Id

1674219860253_3514592

Access

Not Available Free

Pages

927-952

DOI

10.1007/978-3-540-71297-8_40

Chapter URL

https://rd.springer.com/chapter/10.1007/978-3-540-71297-8_40

Table of Contents of Book
Showing 1 to 20 of 53 entries
Chapters/HeadingsAuthor(s)PagesInfo
Front Matter
1-28
Front Matter
16-16
An Introduction to Univariate GARCH Models
Timo Teräsvirta
17-42
Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
Alexander M. Lindner
43-69
ARCH(∞) Models and Long Memory Properties
Liudas Giraitis; Remigijus Leipus; Donatas Surgailis
71-84
A Tour in the Asymptotic Theory of GARCH Estimation
Christian Francq; Jean-Michel Zakoïan
85-111
Practical Issues in the Analysis of Univariate GARCH Models
Eric Zivot
113-155
Semiparametric and Nonparametric ARCH Modeling
Oliver B. Linton
157-167
Varying Coefficient GARCH Models
Pavel Čížek; Vladimir Spokoiny
169-185
Extreme Value Theory for GARCH Processes
Richard A. Davis; Thomas Mikosch
187-200
Multivariate GARCH Models
Annastiina Silvennoinen; Timo Teräsvirta
201-229
Front Matter
232-232
Stochastic Volatility: Origins and Overview
Neil Shephard; Torben G. Andersen
233-254
Probabilistic Properties of Stochastic Volatility Models
Richard A. Davis; Thomas Mikosch
255-267
Moment–Based Estimation of Stochastic Volatility Models
Eric Renault
269-311
Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
Borus Jungbacker; Siem Jan Koopman
313-344
Stochastic Volatility Models with Long Memory
Clifford M. Hurvich; Philippe Soulier
345-354
Extremes of Stochastic Volatility Models
Richard A. Davis; Thomas Mikosch
355-364
Multivariate Stochastic Volatility
Siddhartha Chib; Yasuhiro Omori; Manabu Asai
365-400
Front Matter
402-402
Chapters/HeadingsAuthor(s)PagesInfo
Showing 1 to 20 of 53 entries
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