Statistics and finance: an interface

by Chan, Wai-Sum Li, Wai Keung Tong, Howell

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Title Statements

Full title :Statistics and finance : an interface / editors Wai-Sum Chan, Wai Keung Li, and Howell Tong.

Edition Statements

Publication Date:2000.

Publication Statements

Publisher(s):Imperial College Press
Place of Publication:River Edge, NJ
Language:eng
Publication Date:2000.

Notes

Proceedings of the Hong Kong International Workshop held at the Centre of Financial Time Series, University of Hong Kong, July 4-8, 1999.

The Physical Object

Description:x, 384 pages.

Edition Identifiers

ISBN:1860942377, 9781860942372
oclc:on1037641482
LC Classification:HG176.5
Dewey Decimal:332/.01/5195

Heavy-tailed and Non-linear Continuous-Time ARMA Models for Financial Time Series / P. J. Brockwell -- Nonlinear State Space Model Approach to Financial Time Series with Time-Varying Variance / G. Kitagawa and S. Sato -- Nonparametric Estimation and Bootstrap for Financial Time Series / J.-P. Kreiss -- Comparison of Two Discretization Methods for Estimating Continuous-Time Autoregressive Models / H. Tsai and K. S. Chan -- A Note on Kernel Estimation in Integrated Time Series / Y.-C. Xia, W. K. Li and H. Tong -- Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An Update / C. W. J. Granger, S. Spear and Z.-X. Ding -- Volatility Computed by Time Series Operators at High Frequency / U. A. Muller -- Missing Values in ARFIMA Models / W. Palma -- Second Order Tail Effects / C. G. de Vries -- Recent Developments in Heteroskedastic Time Series / N. H. Chan and G. Petris -- Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures Distributions / S. T. B. Choy and C. M. Chan -- On the Smooth Transition Double Threshold Model / Y. N. Lee and W. K. Li -- Testing GARCH versus E-GARCH / S. Ling and M. McAleer -- Interval Prediction of Financial Time …

Subjects

Conference papers and proceedings Finance -- Congresses. -- Statistical m… Finance -- Statistical methods Finances -- Congrès. -- Méthodes statis… Série chronologique -- Congrès Time-series analysis Time-series analysis -- Congresses