STATISTICS & FINANCE: AN INTERFACE

STATISTICS & FINANCE: AN INTERFACE

Auteur: Tong Howell A M, Chan Wai-sum, Li Wai Keung
Éditeur: World Scientific Publishing Company
Année de publication: 2000
ISBN: 9781860942372

Acheter le livre

0

Payer avec Klarna
Garantie satisfait ou remboursé de 14 jours


Contents:
  • Heavy-Tailed and Nonlinear Continuous-Time ARMA Models for Financial Time Series (P J Brockwell)
  • Nonlinear State Space Model Approach to Financial Time Series with Time-Varying Variance (G Kitagawa & S Sato)
  • Nonparametric Estimation and Bootstrap for Financial Time Series (J-P Kreiβ)
  • A Note on Kernel Estimation in Integrated Time Series (Y-C Xia et al.)
  • Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An Update (C W J Granger et al.)
  • Volatility Computed by Time Series Operators at High Frequency (U A Müller)
  • Missing Values in ARFIMA Models (W Palma)
  • Second Order Tail Effects (C G de Vries)
  • Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures Distributions (S T B Choy & C M Chan)
  • On a Smooth Transition Double Threshold Model (Y N Lee & W K Li)
  • Interval Prediction of Financial Time Series (B Cheng & H Tong)
  • A Decision Theoretic Approach to Forecast Evaluation (C W J Granger & M H Pesaran)
  • Portfolio Management and Market Risk Quantification Using Neural Networks (J Franke)
  • Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Markets (X B Zhang et al.)
  • and other papers

Readership: Researchers in finance, time series analysis, economics and actuarial science, as well as investment bankers, stock market analysts and risk managers.

Tu pourrais aussi aimer

Explore plus de titres
Acheter le livre0