Publication:3433875
zbMath1154.62079MaRDI QIDQ3433875
Sergio M. Focardi, Frank J. Fabozzi, Svetlozar T. Rachev, Stefan Mittnik, Teo Jašić
Publication date: 20 April 2007
heavy-tailed distributions; ARCH models; cointegration; state space models; factor analysis; principal components; robust estimation; VAR models; univariate time series analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics
91-01: Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance
91Gxx: Actuarial science and mathematical finance
Uses Software