Handbook of Financial Time Series

2. An Introduction to Univariate GARCH Models
Timo Teräsvirta

3. Stationarity, Mixing, Distributional Properties and Moments of GARCH(p, q)–Processes
Alexander M. Lindner

4. ARCH(?) Models and Long Memory Properties
Liudas Giraitis, Remigijus Leipus, Donatas Surgailis

5. A Tour in the Asymptotic Theory of GARCH Estimation
Christian Francq, Jean-Michel Zakoïan

6. Practical Issues in the Analysis of Univariate GARCH Models
Eric Zivot

7. Semiparametric and Nonparametric ARCH Modeling
Oliver B. Linton

8. Varying Coefficient GARCH Models
Pavel ?ížek, Vladimir Spokoiny

9. Extreme Value Theory for GARCH Processes
Richard A. Davis, Thomas Mikosch

10. Multivariate GARCH Models
Annastiina Silvennoinen, Timo Teräsvirta

11. Stochastic Volatility: Origins and Overview
Neil Shephard, Torben G. Andersen

12. Probabilistic Properties of Stochastic Volatility Models
Richard A. Davis, Thomas Mikosch

13. Moment–Based Estimation of Stochastic Volatility Models
Eric Renault

14. Parameter Estimation and Practical Aspects of Modeling Stochastic Volatility
Borus Jungbacker, Siem Jan Koopman

15. Stochastic Volatility Models with Long Memory
Clifford M. Hurvich, Philippe Soulier

16. Extremes of Stochastic Volatility Models
Richard A. Davis, Thomas Mikosch

17. Multivariate Stochastic Volatility
Siddhartha Chib, Yasuhiro Omori, Manabu Asai

18. An Overview of Asset–Price Models
Peter J. Brockwell

19. Ornstein–Uhlenbeck Processes and Extensions
Ross A. Maller, Gernot Müller, Alex Szimayer

20. Jump–Type Lévy Processes
Ernst Eberlein

21. Lévy–Driven Continuous–Time ARMA Processes
Peter J. Brockwell

22. Continuous Time Approximations to GARCH and Stochastic Volatility Models
Alexander M. Lindner

23. Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
Peter C. B. Phillips, Jun Yu

24. Parametric Inference for Discretely Sampled Stochastic Differential Equations
Michael Sørensen

25. Realized Volatility
Torben G. Andersen
, Timo Teräsvirta

26. Estimating Volatility in the Presence of Market Microstructure Noise: A Review of the Theory and Practical Considerations
Yacine Aït-Sahalia, Per A. Mykland

27. Option Pricing
Jan Kallsen

28. An Overview of Interest Rate Theory
Tomas Björk

29. Extremes of Continuous–Time Processes.
Vicky Fasen

30. Cointegration: Overview and Development
Søren Johansen

31. Time Series with Roots on or Near the Unit Circle
Ngai Hang Chan

32. Fractional Cointegration
Willa W. Chen, Clifford M. Hurvich

33. Different Kinds of Risk
Paul Embrechts, Hansjörg Furrer, Roger Kaufmann

34. Value–at–Risk Models
Peter Christoffersen

35. Copula–Based Models for Financial Time Series
Andrew J. Patton

36. Credit Risk Modeling
David Lando

37. Evaluating Volatility and Correlation Forecasts
Andrew J. Patton, Kevin Sheppard

38. Structural Breaks in Financial Time Series
Elena Andreou, Eric Ghysels

39. An Introduction to Regime Switching Time Series Models
Theis Lange, Anders Rahbek

40. Model Selection
Hannes Leeb, Benedikt M. Pötscher

41. Nonparametric Modeling in Financial Time Series
Jürgen Franke, Jens-Peter Kreiss, Enno Mammen

42. Modelling Financial High Frequency Data Using Point Processes
Luc Bauwens, Nikolaus Hautsch

43. Resampling and Subsampling for Financial Time Series
Efstathios Paparoditis, Dimitris N. Politis

44. Markov Chain Monte Carlo
Michael Johannes, Nicholas Polson

45. Particle Filtering
Michael Johannes, Nicholas Polson

Keywords: Statistics, Statistics and Computing/Statistics Programs, Quantitative Finance, Econometrics, Statistics for Business/Economics/Mathematical Finance/Insurance