Essays on Specification Testing in Time Series with Applications to Statistical Arbitrage PDF Download
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Author: Oron Daihes
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Oron Daihes
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Yan Liu
Publisher: Springer Nature
ISBN: 9819908035
Category : Mathematics
Languages : en
Pages : 591
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Book Description
This book compiles theoretical developments on statistical inference for time series and related models in honor of Masanobu Taniguchi's 70th birthday. It covers models such as long-range dependence models, nonlinear conditionally heteroscedastic time series, locally stationary processes, integer-valued time series, Lévy Processes, complex-valued time series, categorical time series, exclusive topic models, and copula models. Many cutting-edge methods such as empirical likelihood methods, quantile regression, portmanteau tests, rank-based inference, change-point detection, testing for the goodness-of-fit, higher-order asymptotic expansion, minimum contrast estimation, optimal transportation, and topological methods are proposed, considered, or applied to complex data based on the statistical inference for stochastic processes. The performances of these methods are illustrated by a variety of data analyses. This collection of original papers provides the reader with comprehensive and state-of-the-art theoretical works on time series and related models. It contains deep and profound treatments of the asymptotic theory of statistical inference. In addition, many specialized methodologies based on the asymptotic theory are presented in a simple way for a wide variety of statistical models. This Festschrift finds its core audiences in statistics, signal processing, and econometrics.
Author: Xixin Cheng
Publisher: Open Dissertation Press
ISBN: 9781374672680
Category :
Languages : en
Pages :
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Book Description
This dissertation, "Mixture Time Series Models and Their Applications in Volatility Estimation and Statistical Arbitrage Trading" by Xixin, Cheng, 程細辛, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. DOI: 10.5353/th_b4098805 Subjects: Arbitrage - Mathematical models Pairs trading Time-series analysis Stock price forecasting - Mathematical models
Author: Christian H. Weiß
Publisher:
ISBN:
Category : Zeitreihenanalyse - Kategoriale Daten
Languages : en
Pages : 537
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Author: Xixin Cheng
Publisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 216
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Author: Jonathan D. Cryer
Publisher:
ISBN:
Category : Minitab
Languages : en
Pages : 286
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Book Description
Author: Robert H. Shumway
Publisher:
ISBN: 9787510004384
Category : Time-series analysis
Languages : en
Pages : 575
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Book Description
Author: Rita Biswas
Publisher: Emerald Group Publishing
ISBN: 178973391X
Category : Business & Economics
Languages : en
Pages : 190
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Book Description
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Author:
Publisher:
ISBN:
Category : Economics
Languages : en
Pages : 1272
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Book Description
Author: Ruey S. Tsay
Publisher: Wiley-Interscience
ISBN: 9780471415442
Category : Business & Economics
Languages : en
Pages : 472
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Book Description
Fundamental topics and new methods in time series analysis Analysis of Financial Time Series provides a comprehensive and systematic introduction to financial econometric models and their application to modeling and prediction of financial time series data. It utilizes real-world examples and real financial data throughout the book to apply the models and methods described. The author begins with basic characteristics of financial time series data before covering three main topics: analysis and application of univariate financial time series; the return series of multiple assets; and Bayesian inference in finance methods. Timely topics and recent results include: Value at Risk (VaR) High-frequency financial data analysis Markov Chain Monte Carlo (MCMC) methods Derivative pricing using jump diffusion with closed-form formulas VaR calculation using extreme value theory based on a non-homogeneous two-dimensional Poisson process Multivariate volatility models with time-varying correlations Ideal as a fundamental introduction to time series for MBA students or as a reference for researchers and practitioners in business and finance, Analysis of Financial Time Series offers an in-depth and up-to-date account of these vital methods.
