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Record Nr. |
UNINA9910145587603321 |
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Titolo |
Financial surveillance [[electronic resource] /] / edited by Marianne Frisén |
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Pubbl/distr/stampa |
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Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 |
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ISBN |
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1-281-31997-X |
9786611319977 |
0-470-98717-0 |
0-470-98716-2 |
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Descrizione fisica |
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1 online resource (274 p.) |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Econometric models |
Mathematical optimization |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di bibliografia |
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Includes bibliographical references (p. [239]-256) and index. |
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Nota di contenuto |
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Introduction to financial surveillance / Marianne Frisén -- Statistical models in finance / Helgi Tómasson -- The relation between statistical surveillance and technical analysis in finance / David Bock, Eva Andersson, Marianne Frisén -- Evaluations of likelihood-based surveillance of volatility / David Bock -- Surveillance of univariate and multivariate linear time series / Yarema Okhrin and Wolfgang Schmid -- Surveillance of univariate and multivariate nonlinear time series / Yarema Okhrin and Wolfgang Schmid -- Sequential monitoring of optimal portfolio weights / Vasyl Golosnoy, Wolfgang Schmid and Iryna Okhrin -- Likelihood-based surveillance for continuous-time processes / Helgi Tómasson -- Conclusions and future directions / Marianne Frisén. |
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Sommario/riassunto |
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This is the first book-length treatment of statistical surveillance methods used in financial analysis. It contains carefully selected chapters written by specialists from both fields and strikes a balance between the financial and statistical worlds, enhancing future collaborations between the two areas, and enabling more successful prediction of financial market trends. The book discusses, in detail, |
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