Analysis of Financial Time Series
From MaRDI portal
Publication:5706503
DOI10.1002/0471746193zbMath1086.91054OpenAlexW2489540272MaRDI QIDQ5706503
Publication date: 7 November 2005
Published in: Wiley Series in Probability and Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/0471746193
Kalman filterFinanceTime seriesMCMCVolatilityHeavy tailed distributionPortfolio analysisOptionsCo-integrationDifusionExtreme valueFinancial factor modelMultiple assetsVar, VARMA
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Auctions, bargaining, bidding and selling, and other market models (91B26) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
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