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.
购买此电子书可免费获赠一本!
语言 英语 ● 格式 PDF ● 网页 396 ● ISBN 9781848160156 ● 文件大小 15.6 MB ● 编辑 Wai-sum Chan & Wai Keung Li ● 出版者 World Scientific Publishing Company ● 市 Singapore ● 国家 SG ● 发布时间 2000 ● 下载 24 个月 ● 货币 EUR ● ID 2423264 ● 复制保护 Adobe DRM
需要具备DRM功能的电子书阅读器