Indexation and causation of financial markets. Nonstationary time series analysis method

DOI10.1007/978-4-431-55276-5zbMATH Open1338.91009OpenAlexW2256173171MaRDI QIDQ269796FDOQ269796

Authors: Yoko Tanokura, Genshiro Kitagawa 

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

Recommendations

• Analysis of financial time series
• scientific article; zbMATH DE number 1820665
• scientific article; zbMATH DE number 5371429
• Statistical analysis of financial time series under the assumption of local stationarity
• The Econometric Modelling of Financial Time Series

zbMATH Keywords

Box-Cox transformationdistribution-free indexheavy-tailed distributionspower contributiontrend model with time-varying observation noises

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Cited In (1)

• Time-dependent complexity measurement of causality in international equity markets: a spatial approach

This page was built for publication: Indexation and causation of financial markets. Nonstationary time series analysis method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q269796)