Analysis of financial time series (Q3583112)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5774921
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Analysis of financial time series |
scientific article; zbMATH DE number 5774921 |
Statements
26 August 2010
0 references
financial time series analysis
0 references
AR, MA, ARMA, ARCH, GARCH, EGARCH, CHARMA models
0 references
Black-Scholes, jump diffusion, stochastic volatility models
0 references
value at risk
0 references
expected shortfall
0 references
extreme value theory
0 references
principal component analysis
0 references
factor model
0 references
Kalman filter
0 references
Markov chain Monte Carlo
0 references
0.8974857926368713
0 references
0.8682318925857544
0 references
0.854568600654602
0 references
0.8520699739456177
0 references
