LEADER 03146nam 2200637 a 450 001 9911018818303321 005 20200520144314.0 010 $a9786611319977 010 $a9781281319975 010 $a128131997X 010 $a9780470987179 010 $a0470987170 010 $a9780470987162 010 $a0470987162 035 $a(CKB)1000000000408661 035 $a(EBL)351135 035 $a(OCoLC)244636742 035 $a(SSID)ssj0000155094 035 $a(PQKBManifestationID)11148918 035 $a(PQKBTitleCode)TC0000155094 035 $a(PQKBWorkID)10098425 035 $a(PQKB)10414069 035 $a(MiAaPQ)EBC351135 035 $a(PPN)15803614X 035 $a(Perlego)2760000 035 $a(EXLCZ)991000000000408661 100 $a20071105d2008 uy 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 00$aFinancial surveillance /$fedited by Marianne Frisen 210 $aChichester, England ;$aHoboken, NJ $cJohn Wiley & Sons$dc2008 215 $a1 online resource (274 p.) 225 1 $aStatistics in practice 300 $aDescription based upon print version of record. 311 08$a9780470061886 311 08$a047006188X 320 $aIncludes bibliographical references (p. [239]-256) and index. 327 $aIntroduction 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. 330 $aThis is the first book-length treatment of statistical surveillance methods used in financial analysis. It contains carefully selected chapters written by specialists from both fields and strikes a balance between the financial and statistical worlds, enhancing future collaborations between the two areas, and enabling more successful prediction of financial market trends. The book discusses, in detail, schemes for different control charts and different linear and nonlinear time series models and applies methods to real data from worldwide markets, as well as including simulation studies. 410 0$aStatistics in practice. 606 $aEconometric models 606 $aMathematical optimization 615 0$aEconometric models. 615 0$aMathematical optimization. 676 $a332.01/519 701 $aFrisen$b Marianne$01842595 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9911018818303321 996 $aFinancial surveillance$94422769 997 $aUNINA