Financial surveillance

著者

    • Frisén, Marianne

書誌事項

Financial surveillance

edited by Marianne Frisén

（Statistics in practice）

John Wiley & Sons, c2008

大学図書館所蔵 件 / 全4件

この図書・雑誌をさがす

注記

Includes bibliographical references (p. [239]-256) and index

収録内容

  • Introduction to financial surveillance / Marianne Frisén
  • Statistical models in finance / Helgi Tómasson
  • The relation between statistical surveillance and technical analysis in finance / David Bock, Eva Andersson, Marianne Frisén
  • Evaluations of likelihood-based surveillance of volatility / David Bock
  • Surveillance of univariate and multivariate linear time series / Yarema Okhrin and Wolfgang Schmid
  • Surveillance of univariate and multivariate nonlinear time series / Yarema Okhrin and Wolfgang Schmid
  • Sequential monitoring of optimal portfolio weights / Vasyl Golosnoy, Wolfgang Schmid and Iryna Okhrin
  • Likelihood-based surveillance for continuous-time processes / Helgi Tómasson
  • Conclusions and future directions / Marianne Frisén

内容説明・目次

内容説明

This is the first book-length treatment of statistical surveillance methods used in financial analysis. It contains carefully selected chapters written by specialists from both fields and strikes a balance between the financial and statistical worlds, enhancing future collaborations between the two areas, and enabling more successful prediction of financial market trends. The book discusses, in detail, schemes for different control charts and different linear and nonlinear time series models and applies methods to real data from worldwide markets, as well as including simulation studies.

目次

List of Contributors . 1. Introduction to financial surveillance (Marianne Frisen). 2. Statistical models in finance (Helgi Tomasson). 3. The relation between statistical surveillance and technical analysis. in finance (David Bock, Eva Andersson and Marianne Frisen). 4. Evaluations of likelihood-based surveillance of volatility (David Bock). 5. Surveillance of univariate and multivariate linear time series (Y. Okhrin and W.Schmid). 6. Surveillance of univariate and multivariate nonlinear time series (Y. Okhrin and W. Schmid). 7. Sequential monitoring of optimal portfolio weights (Vasyl. Golosnoy, Wolfgang Schmid and Iryna. Okhrin). 8. Likelihood-based surveillance for continuous-time processes (Helgi T?omasson). 9 Conclusions and future directions (Marianne Frisen). Bibliography. Index.

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