scientific article

zbMath1154.62079MaRDI QIDQ3433875

Frank J. Fabozzi, Sergio M. Focardi, Teo Jašić, Svetlozar T. Rachev, Stefan Mittnik

Publication date: 20 April 2007

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

heavy-tailed distributionsARCH modelscointegrationstate space modelsfactor analysisprincipal componentsrobust estimationVAR modelsunivariate time series analysis

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Actuarial science and mathematical finance (91Gxx)

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