LEADER 04774nam 22006495 450 001 9910300253403321 005 20250408103803.0 010 $a4-431-55276-6 024 7 $a10.1007/978-4-431-55276-5 035 $a(CKB)3710000000571765 035 $a(EBL)4323347 035 $a(SSID)ssj0001606982 035 $a(PQKBManifestationID)16317079 035 $a(PQKBTitleCode)TC0001606982 035 $a(PQKBWorkID)14896092 035 $a(PQKB)10746766 035 $a(DE-He213)978-4-431-55276-5 035 $a(MiAaPQ)EBC4323347 035 $a(PPN)191701041 035 $a(EXLCZ)993710000000571765 100 $a20160107d2015 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aIndexation and Causation of Financial Markets /$fby Yoko Tanokura, Genshiro Kitagawa 205 $a1st ed. 2015. 210 1$aTokyo :$cSpringer Japan :$cImprint: Springer,$d2015. 215 $a1 online resource (110 p.) 225 1 $aJSS Research Series in Statistics,$x2364-0065 300 $aDescription based upon print version of record. 311 08$a4-431-55275-8 320 $aIncludes bibliographical references and index. 327 $a1 Introduction (1.1 Indexation of Financial Markets -- 1.2 Causation of Financial Markets -- 1.3 Nonstationarity of Financial Time Series -- 1.4 State-Space Modeling -- 1.5 Organization of the Book and Related Web Information -- References) -- 2 Method for Constructing a Distribution-Free Index (2.1 Nonstationary Time Series Modeling -- 2.2 Transformation of Non-Gaussian Distributed Prices of a Financial Market -- 2.3 Construction of a Distribution-Free Index -- References) -- 3 Power Contribution Analysis of a Multivariate Feedback System (3.1 Akaike?s Power Contribution and its Generalization -- 3.2 Algorithm for Decomposing a Variance Covariance Matrix -- 3.3 Example of Power Contribution Analysis -- References) -- 4 Application to Financial and Economic Time Series Data (4.1 Detecting Crisis Spillovers in Terms of Sovereign CDS Distribution-Free Indices -- 4.2 Measuring the Impact of the US Subprime Crisis on Japanese Financial Markets -- 4.3 Other Applications: Usability of the Distribution-Free Index) -- References. 330 $aThis book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis. Firstly, the long-term trend of the distributions of the optimal Box?Cox transformed prices is estimated by fitting a trend model with time-varying observation noises. By applying state space modeling, the estimation is performed and missing observations are automatically interpolated. Finally, the index is defined by taking the inverse Box?Cox transformation of the optimal long-term trend. This book applies the method to various financial data. For example, applying it to the sovereign credit default swap market where the number of observations varies over time due to the immaturity, the spillover effects of the financial crisis are detected by using the power contribution analysis measuring the information flows between indices. The investigations show that applying this method to the markets with insufficient information such as fast-growing or immature markets can be effective. 410 0$aJSS Research Series in Statistics,$x2364-0065 606 $aStatistics 606 $aStatistics 606 $aStatistical Theory and Methods 606 $aStatistics in Business, Management, Economics, Finance, Insurance 606 $aStatistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences 615 0$aStatistics. 615 0$aStatistics. 615 14$aStatistical Theory and Methods. 615 24$aStatistics in Business, Management, Economics, Finance, Insurance. 615 24$aStatistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences. 676 $a519.5 700 $aTanokura$b Yoko$4aut$4http://id.loc.gov/vocabulary/relators/aut$0755706 702 $aKitagawa$b Genshiro$4aut$4http://id.loc.gov/vocabulary/relators/aut 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910300253403321 996 $aIndexation and Causation of Financial Markets$92502873 997 $aUNINA