03071nam 2200589 a 450 991082980530332120170815114600.01-281-31997-X97866113199770-470-98717-00-470-98716-2(CKB)1000000000408661(EBL)351135(OCoLC)244636742(SSID)ssj0000155094(PQKBManifestationID)11148918(PQKBTitleCode)TC0000155094(PQKBWorkID)10098425(PQKB)10414069(MiAaPQ)EBC351135(PPN)15803614X(EXLCZ)99100000000040866120071105d2008 uy 0engur|n|---|||||txtccrFinancial surveillance[electronic resource] /edited by Marianne FrisénChichester, England ;Hoboken, NJ John Wiley & Sonsc20081 online resource (274 p.)Statistics in practiceDescription based upon print version of record.0-470-06188-X Includes bibliographical references (p. [239]-256) and index.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.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, schemes for different control charts and different linear and nonlinear time series models and applies methods to real data from worldwide markets, as well as including simulation studies.Statistics in practice.Econometric modelsMathematical optimizationEconometric models.Mathematical optimization.332.01/519332.01519Frisén Marianne1717093MiAaPQMiAaPQMiAaPQBOOK9910829805303321Financial surveillance4112943UNINA