Statistical Inference for Financial Engineering [electronic resource] / by Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai.

By:

Taniguchi, Masanobu [author.]

Contributor(s):

Material type: Text

TextSeries: SpringerBriefs in StatisticsPublisher: Cham : Springer International Publishing : Imprint: Springer, 2014Description: X, 118 p. 15 illus., 6 illus. in color. online resourceContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9783319034973

Subject(s):

Additional physical formats: Printed edition:: No titleDDC classification:

330.015195 23

LOC classification:

QA276-280

Online resources:

Click here to access online

Contents:

Preface -- Features of Financial Data -- Empirical Likelihood Approaches for Financial Returns -- Various Methods for Financial Engineering -- Some Techniques for ARCH Financial Time Series -- Index.

In: Springer eBooksSummary: This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.

Holdings ( 1 )
Title notes ( 2 )

Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
eBook	e-Library	EBook		Available

Total holds: 0

Preface -- Features of Financial Data -- Empirical Likelihood Approaches for Financial Returns -- Various Methods for Financial Engineering -- Some Techniques for ARCH Financial Time Series -- Index.

This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering. This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.