|
|
|
|
|
|
|
|
1. |
Record Nr. |
UNINA9911018818303321 |
|
|
Titolo |
Financial surveillance / / edited by Marianne Frisen |
|
|
|
|
|
Pubbl/distr/stampa |
|
|
Chichester, England ; ; Hoboken, NJ, : John Wiley & Sons, c2008 |
|
|
|
|
|
|
|
ISBN |
|
9786611319977 |
9781281319975 |
128131997X |
9780470987179 |
0470987170 |
9780470987162 |
0470987162 |
|
|
|
|
|
|
|
|
Descrizione fisica |
|
1 online resource (274 p.) |
|
|
|
|
|
|
Collana |
|
|
|
|
|
|
Altri autori (Persone) |
|
|
|
|
|
|
Disciplina |
|
|
|
|
|
|
Soggetti |
|
Econometric models |
Mathematical optimization |
|
|
|
|
|
|
|
|
Lingua di pubblicazione |
|
|
|
|
|
|
Formato |
Materiale a stampa |
|
|
|
|
|
Livello bibliografico |
Monografia |
|
|
|
|
|
Note generali |
|
Description based upon print version of record. |
|
|
|
|
|
|
Nota di bibliografia |
|
Includes bibliographical references (p. [239]-256) and index. |
|
|
|
|
|
|
Nota di contenuto |
|
Introduction to financial surveillance / Marianne Frisen -- Statistical models in finance / Helgi Tomasson -- The relation between statistical surveillance and technical analysis in finance / David Bock, Eva Andersson, Marianne Frisen -- 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 Tomasson -- Conclusions and future directions / Marianne Frisen. |
|
|
|
|
|
|
|
|
Sommario/riassunto |
|
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 |
|
|
|
|