Financial Surveillance
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...
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| Format: | Book |
| Language: | English |
| Published: |
Chichester, England
John Wiley & Sons
2008
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| Series: | Statistics in practice
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| Subjects: | |
| Online Access: | Click Here to View Status and Holdings. |
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Table of Contents:
- 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
Econometric modeling a likelihood approach