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

DOI10.1007/978-4-431-55276-5zbMath1338.91009MaRDI QIDQ269796

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

zbMATH Keywords

heavy-tailed distributions; Box-Cox transformation; distribution-free index; power contribution; trend model with time-varying observation noises

Mathematics Subject Classification ID

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

91G70: Statistical methods; risk measures

91B84: Economic time series analysis

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

91G10: Portfolio theory