Publication:3433875

zbMath1154.62079MaRDI QIDQ3433875

Frank J. Fabozzi, Sergio M. Focardi, Teo Jašić, Svetlozar T. Rachev, Stefan Mittnik

Publication date: 20 April 2007

zbMATH Keywords

heavy-tailed distributions; ARCH models; cointegration; state space models; factor analysis; principal components; robust estimation; VAR models; univariate time series analysis

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62P05: Applications of statistics to actuarial sciences and financial mathematics

62-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics

91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance

91Gxx: Actuarial science and mathematical finance

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