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Discrete time series, processes, and applications in finance

Zumbach, Gilles O. - 2013

-frequency volatility estimators, market risk evaluation, covariance estimation and multivariate extensions of the processes. The book … and continues to be engaged in research on many topics in finance. His primary areas of interest are volatility, ARCH …

Persistent link: https://www.econbiz.de/10009634376

Nonlinear time series models in empirical finance

Franses, Philip Hans; Dijk, Dick van - 2000 - 1. publ.

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An introduction to analysis of financial data with R

Tsay, Ruey S. - 2013

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Asset price dynamics, volatility, and prediction

Taylor, Stephen J.; Taylor, Stephen - 2005

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A time series approach to option pricing : models, methods and empirical performances

Chorro, Christophe; Guégan, Dominique; Ielpo, Florian - 2015

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New introduction to multiple time series analysis

Lütkepohl, Helmut - 2006

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Quantitative risk management : concepts, techniques and tools

McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005

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New Introduction to Multiple Time Series Analysis

Lütkepohl, Helmut - 2005

Deals with analyzing and forecasting multiple time series, considering a range of models and methods. This reference work and graduate-level textbook enables readers to perform their analyses in a competent manner

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Financial econometrics using Stata

Boffelli, Simona; Urga, Giovanni - 2016

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New Introduction to Multiple Time Series Analysis

Lütkepohl, Helmut - 2005

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