Indexation and causation of financial markets. Nonstationary time series analysis method
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Publication:269796
DOI10.1007/978-4-431-55276-5zbMath1338.91009OpenAlexW2256173171MaRDI QIDQ269796
Genshiro Kitagawa, Yoko Tanokura
Publication date: 6 April 2016
Published in: SpringerBriefs in Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-4-431-55276-5
heavy-tailed distributionsBox-Cox transformationdistribution-free indexpower contributiontrend model with time-varying observation noises
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Portfolio theory (91G10)