Handbook of Financial Time Series

  • Thomas Mikosch
  • Jens-Peter Kreiß
  • Richard A. Davis
  • Torben Gustav Andersen

Table of contents

  1. Front Matter
    Pages 1-28
  2. Recent Developments in GARCH Modeling

    1. Front Matter
      Pages 16-16
    2. Timo Teräsvirta
      Pages 17-42
    3. Liudas Giraitis, Remigijus Leipus, Donatas Surgailis
      Pages 71-84
    4. Christian Francq, Jean-Michel Zakoïan
      Pages 85-111
    5. Oliver B. Linton
      Pages 157-167
    6. Pavel Čížek, Vladimir Spokoiny
      Pages 169-185
    7. Richard A. Davis, Thomas Mikosch
      Pages 187-200
    8. Annastiina Silvennoinen, Timo Teräsvirta
      Pages 201-229
  3. Recent Developments in Stochastic Volatility Modeling

    1. Front Matter
      Pages 232-232
    2. Neil Shephard, Torben G. Andersen
      Pages 233-254
    3. Richard A. Davis, Thomas Mikosch
      Pages 255-267
    4. Borus Jungbacker, Siem Jan Koopman
      Pages 313-344
    5. Clifford M. Hurvich, Philippe Soulier
      Pages 345-354
    6. Richard A. Davis, Thomas Mikosch
      Pages 355-364
    7. Siddhartha Chib, Yasuhiro Omori, Manabu Asai
      Pages 365-400
  4. Topics in Continuous Time Processes

    1. Front Matter
      Pages 402-402

About this book


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.


Econometrics Finance Financial Time Series Markov Chain Simulation Statistics Stochastic Differential Equations Time Series calculus modeling nonparametric methods

Editors and affiliations

  • Thomas Mikosch
  • Jens-Peter Kreiß
  • Richard A. Davis
  • Torben Gustav Andersen

There are no affiliations available

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-540-71297-8
  • Copyright Information Springer-Verlag Berlin Heidelberg 2009
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-540-71296-1
  • Online ISBN 978-3-540-71297-8
  • About this book