Wai-sum Chan & Wai Keung Li 
STATISTICS & FINANCE: AN INTERFACE [PDF ebook] 
An Interface

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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.

€269.99
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язык английский ● Формат PDF ● страницы 396 ● ISBN 9781848160156 ● Размер файла 15.6 MB ● редактор Wai-sum Chan & Wai Keung Li ● издатель World Scientific Publishing Company ● город Singapore ● Страна SG ● опубликованный 2000 ● Загружаемые 24 месяцы ● валюта EUR ● Код товара 2423264 ● Защита от копирования Adobe DRM
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