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Proceedings of the Hong Kong International Workshop on Statistics and Finance an interface : Centre of Financial Time Series, the University of Hong Kong, 4-8 July 1999 /

This volume constitutes the proceedings of the Hong Kong International Workshop on Statistics in Finance, held at the University of Hong Kong in July 1999. Topics covered include heavy-tailed and nonlinear continuous-time ARMA models for financial time series, and forecast evaluation.

Автор-организации: Hong Kong International Workshop on Statistics and Finance Centre of Financial Time Series, University of Hong Kong)
Други автори: Chan, Wai-Sum., Li, Wai Keung, 1953-, Tong, Howell.
Формат: Електронен
Език: English
Публикувано: London : River Edge, NJ : Imperial College Press ; Distributed by World Scientific Pub., ℗♭2000.
Предмети:
Finance > Statistical methods > Congresses.
Time-series analysis > Congresses.
BUSINESS & ECONOMICS > Finance.
Finance > Statistical methods.
Time-series analysis.
Aufsatzsammlung.
Finanzmathematik.
Statistik.
Kongress (Hongkong, 1999)
Electronic books.
Conference papers and proceedings.
Онлайн достъп: http://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=532558
Подобни документи: Print version:: Proceedings of the Hong Kong International Workshop on Statistics and Finance.
Съдържание:
  • pt. I. Time series methodology. 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. Kreif[symbol]
  • 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
  • pt. II. Long memory and value at risk. 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. Mu˜ller
  • Missing values in ARFIMA models / W. Palma
  • Second order tail effects / C.G. de Vries
  • pt. III. Volatility. 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 a smooth transition double threshold model / Y.N. Lee and W.K. Li
  • Testing GARCH versus E-GARCH / S. Ling and M. McAleer
  • pt. IV. Forecasting. Interval prediction of financial time series / B. Cheng and H. Tong
  • A decision theoretic approach to forecast evaluation / C.W.J. Granger and M.H. Pesaran
  • Learning and forecasting with stochastic neural networks / T.L. Lai and S.P.-S. Wong
  • pt. V. Applications. The overreacting behavior of real exchange rate dynamics / Y.-W. Cheung and K.S. Lai
  • Portfolio management and market risk quantification using neural networks / J. Franke
  • Optimal asset allocation under GARCH model / W.C. Hui, H. Yang and K.C. Yuen
  • Statistical modelling of the J-curve effect in trade balance: a case study / W.C. Ip [and others]
  • Ruin theory with interest incomes / H. Yang and L. Zhang
  • Detecting structural changes using genetic programming with an application to the greater-China stock markets / X.B. Zhang, Y.K. Tse and W.S. Chan.

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