Statistics of financial markets. An introduction. (Q5893983)
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scientific article; zbMATH DE number 5822620
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English | Statistics of financial markets. An introduction. |
scientific article; zbMATH DE number 5822620 |
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Statistics of financial markets. An introduction. (English)
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3 December 2010
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The reviewed book is the third edition of (2004; Zbl 1059.91001). Compared to the second edition (2008; Zbl 1146.91001), the authors actualize research in financial statistics and econometrics. They have extended the chapter on copulas by introducing hierarchical copulas. In the Chapters 11--13 they have updated the data analysis with more recent data. The majority of chapters now have an exercise section. In addition to these changes the authors translated all Quantlet codes into \texttt{Matlab} and \texttt{R}. These Quantlets may be downloaded from the Springer webpage.
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statistics
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financial mathematics econometrics
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time series analysis
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