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第二版序言：
After the success of the first edition we felt obliged to catch up with the rapidly growing literature in financial statistics and econometrics. This second edition expands on material that was only briefly covered in the previous edition. As an example, Chapter 17 on copula is an extensive update of the literature and describes some of our own research in this area. In the chapter on time series with stochastic volatility (Chapter 13), we present a critique of standard stationary GARCH modelling and describe an alternative nonparametric
way of modelling based on the idea of a time-varying unconditional variance, and hence a non-stationary process. This new view of volatility modelling seems to provide promising results in prediction when compared with standard GARCH models. We have substantially augmented the section on risk management (Section 6.3), including the Volga and Vanna coefficients and the recent work on realised volatility. Another very active part of research is on multivariate GARCH models, where we provide an updated review in
Section 13.4. We have included a new section on simulation techniques and an entire chapter on Credit Risk Management. In addition to these changes, we have eliminated a small number of errors in the first edition. Finally, we would like to thank Ying Chen, Ekaterina Ignatieva and Kai Detlefsen for the text management.
Berlin, Kaiserslautern and Louvain-la-Neuve, August 2007
2008b金融市场统计学.pdf
(12.77 MB)
Professor Dr. Jürgen Franke
University of Kaiserslautern
P.O. Box 3049
67653 Kaiserslautern
Germany
franke@mathematik.uni-kl.de
Professor Dr.Wolfgang K. Härdle
Humboldt-Universität zu Berlin
CASE-Center for Applied
Statistics and Economics
Spandauer Straße 1
10178 Berlin
Germany
haerdle@wiwie.hu-berlin.de
ProfessorDr. ChristianM.Hafner
Université catholique de Louvain
Institut de statistique
Voie du Roman Pays, 20
1348 Louvain-la-Neuve
Belgium
christian.hafner@uclouvain.be
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