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Indexation and Causation of Financial Markets free ebook download

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Finances and Money

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Catalogue

Author(s):	Indexation and Causation of Financial Markets

Date:	2013	Format:	pdf	Language:	English	ISBN/ASIN:	4431552758
Pages:	1	OCR:		Quality:		ISBN13:
Uploader:	Gustavi	Upload Date:	9/6/2018 3:02:18 AM

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Authors: Tanokura, Yoko, Kitagawa, Genshiro
Provides a method of analysis for nonstationary non-Gaussian multivariate time series
Develops a means of constructing an index for financial time series
Explains a practical statistical technique for global investment management

This 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 BoxCox 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 BoxCox 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.

Number of Illustrations and Tables
17 illus., 33 in colour
Topics
Statistical Theory and Methods
Statistics for Business, Economics, Mathematical Finance, Insurance
Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences

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	Title	Link	Password	Size (MB)	Thank to	Inform Admin
2261969	Book	http://www.nitroflare.com/view/F574B874A...		9.50	Gustavi

Tags: Causation Financial Indexation Markets

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Indexation and Causation of Financial Markets free ebook download

Category: Finances and Money

Description: Click to see full description

Category:
Finances and Money