A Direct Test of the Mixture of Distributions Hypothesis PDF Download
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Author: Matthew Richardson
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
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Book Description
Author: Matthew Richardson
Publisher:
ISBN:
Category :
Languages : en
Pages : 56
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Book Description
Author: Matthew RICHARDSON
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Book Description
Author: Charles Clark Brown
Publisher:
ISBN:
Category : Distribution (Probability theory)
Languages : en
Pages : 98
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Book Description
Author: G. Elliott
Publisher: Elsevier
ISBN: 0444513957
Category : Business & Economics
Languages : en
Pages : 1071
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Book Description
Section headings in this handbook include: 'Forecasting Methodology; 'Forecasting Models'; 'Forecasting with Different Data Structures'; and 'Applications of Forecasting Methods.'.
Author: Philip Rothman
Publisher: Springer Science & Business Media
ISBN: 0792383796
Category : Business & Economics
Languages : en
Pages : 394
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Book Description
Nonlinear Time Series Analysis of Economic and Financial Data provides an examination of the flourishing interest that has developed in this area over the past decade. The constant theme throughout this work is that standard linear time series tools leave unexamined and unexploited economically significant features in frequently used data sets. The book comprises original contributions written by specialists in the field, and offers a combination of both applied and methodological papers. It will be useful to both seasoned veterans of nonlinear time series analysis and those searching for an informative panoramic look at front-line developments in the area.
Author: Christian Gourieroux
Publisher: Princeton University Press
ISBN: 0691242364
Category : Business & Economics
Languages : en
Pages : 528
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Book Description
Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and descriptive modeling, to address rigorous economic problems. Its development within the world of finance is quite recent and has been paralleled by a fast expansion of financial markets and an increasing variety and complexity of financial products. This has fueled the demand for people with advanced econometrics skills. For professionals and advanced graduate students pursuing greater expertise in econometric modeling, this is a superb guide to the field's frontier. With the goal of providing information that is absolutely up-to-date—essential in today's rapidly evolving financial environment—Gourieroux and Jasiak focus on methods related to foregoing research and those modeling techniques that seem relevant to future advances. They present a balanced synthesis of financial theory and statistical methodology. Recognizing that any model is necessarily a simplified image of reality and that econometric methods must be adapted and applied on a case-by-case basis, the authors employ a wide variety of data sampled at frequencies ranging from intraday to monthly. These data comprise time series representing both the European and North American markets for stocks, bonds, and foreign currencies. Practitioners are encouraged to keep a critical eye and are armed with graphical diagnostics to eradicate misspecification errors. This authoritative, state-of-the-art reference text is ideal for upper-level graduate students, researchers, and professionals seeking to update their skills and gain greater facility in using econometric models. All will benefit from the emphasis on practical aspects of financial modeling and statistical inference. Doctoral candidates will appreciate the inclusion of detailed mathematical derivations of the deeper results as well as the more advanced problems concerning high-frequency data and risk control. By establishing a link between practical questions and the answers provided by financial and statistical theory, the book also addresses the needs of applied researchers employed by financial institutions.
Author: Chin Fei Hsu
Publisher:
ISBN:
Category : Analysis of variance
Languages : en
Pages : 178
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Book Description
Derives and discusses properties of three approaches to test the hypothesis of finite proper mixtures of distributions. Two of them are compared for the case of two normal components against a single normal alternative. The third is investigated by simulation studies.
Author: Stephen J. Taylor
Publisher: Princeton University Press
ISBN: 1400839254
Category : Business & Economics
Languages : en
Pages : 544
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Book Description
This book shows how current and recent market prices convey information about the probability distributions that govern future prices. Moving beyond purely theoretical models, Stephen Taylor applies methods supported by empirical research of equity and foreign exchange markets to show how daily and more frequent asset prices, and the prices of option contracts, can be used to construct and assess predictions about future prices, their volatility, and their probability distributions. Stephen Taylor provides a comprehensive introduction to the dynamic behavior of asset prices, relying on finance theory and statistical evidence. He uses stochastic processes to define mathematical models for price dynamics, but with less mathematics than in alternative texts. The key topics covered include random walk tests, trading rules, ARCH models, stochastic volatility models, high-frequency datasets, and the information that option prices imply about volatility and distributions. Asset Price Dynamics, Volatility, and Prediction is ideal for students of economics, finance, and mathematics who are studying financial econometrics, and will enable researchers to identify and apply appropriate models and methods. It will likewise be a valuable resource for quantitative analysts, fund managers, risk managers, and investors who seek realistic expectations about future asset prices and the risks to which they are exposed.
Author: Eric Jondeau
Publisher: Springer Science & Business Media
ISBN: 1846286964
Category : Mathematics
Languages : en
Pages : 541
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Book Description
This book examines non-Gaussian distributions. It addresses the causes and consequences of non-normality and time dependency in both asset returns and option prices. The book is written for non-mathematicians who want to model financial market prices so the emphasis throughout is on practice. There are abundant empirical illustrations of the models and techniques described, many of which could be equally applied to other financial time series.
Author: J. Durbin
Publisher: SIAM
ISBN: 9781611970586
Category : Mathematics
Languages : en
Pages : 70
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Book Description
Presents a coherent body of theory for the derivation of the sampling distributions of a wide range of test statistics. Emphasis is on the development of practical techniques. A unified treatment of the theory was attempted, e.g., the author sought to relate the derivations for tests on the circle and the two-sample problem to the basic theory for the one-sample problem on the line. The Markovian nature of the sample distribution function is stressed, as it accounts for the elegance of many of the results achieved, as well as the close relation with parts of the theory of stochastic processes.
