Optimal Statistical Inference in Financial Engineering

DOI10.1201/9781420011036MaRDI QIDQ5431291zbMATH OpenOpenAlexFDO

Authors Masanobu Taniguchi, Junichi Hirukawa, Kenichiro Tamaki

Publication date 7 December 2007

Full work available at URL https://doi.org/10.1201/9781420011036

zbMATH Keywords

credit ratingdiscount bondsdiscriminant analysisergodicityestimation of portfoliosestimation of time series modelsestimation procedures for term structureshigher order asymptotic option valuation for non-Gaussian dependent returnslocal Whittle likelihood approachlong memory processesmartingalemixingnonparametric clusteringnonparametric estimationnonstationary processesoption pricing theoryparametric clustering for financial time seriesprediction of time seriesregressionsemiparametric estimationspectral analysisspot ratesstochastic processesterm structuretime series analysisVaR problems

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to statistics (62-02) Nonparametric estimation (62G05) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Statistical methods; risk measures (91G70)

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Cited in

(10)

• Financial risk modelling and econometric inference
• The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate
• Modified LASSO estimators for time series regression models with dependent disturbances
• Discriminant analysis by quantile regression with application on the climate change problem
• Statistical inference for financial engineering
• Optimal statistical decisions about some alternative financial models
• Statistical methods for financial engineering
• Pathwise estimation and inference for diffusion market models
• Higher‐order asymptotics of minimax estimators for time series
• M-estimation in GARCH models in the absence of higher-order moments

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Uses Software

• S-PLUS

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