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
Gespeichert in:
| Körperschaft: | |
|---|---|
| Format: | Tagungsbericht Buch |
| Sprache: | English |
| Veröffentlicht: |
London
Imperial College Press
2000
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 384 S. Ill., graph. Darst. |
| ISBN: | 1860942377 |
Internformat
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Datensatz im Suchindex
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| adam_text | ix
CONTENTS
Preface v
Part I: Time Series Methodology
Heavy tailed and Non linear Continuous Time ARMA Models for
Financial Time Series 3
P.J. Brockwell
Nonlinear State Space Model Approach to Financial Time Series with
Time Varying Variance 23
G. Kitagawa and S. Sato
Nonparametric Estimation and Bootstrap for Financial Time Series 45
J. P. Kreifl
Comparison of Two Discretization Methods for Estimating
Continuous Time Autoregressive Models 68
H. Tsai and K.S. Chan
A Note on Kernel Estimation in Integrated Time Series 86
Y. C. Xia, W.K. Li and H. Tong
Part II: Long Memory and Value at Risk
Stylized Facts on the Temporal and Distributional Properties of
Absolute Returns: An Update 97
C.W.J. Granger, S. Spear and Z. X. Ding
Volatility Computed by Time Series Operators at High Frequency 121
U.A. Miiller
Missing Values in ARFIMA Models 141
W. Palma
Second Order Tail Effects 153
C.G. de Vries
Part III: Volatility
Recent Developments in Heteroskedastic Time Series 169
N.H. Chan and G. Petris
Bayesian Estimation of Stochastic Volatility Model via Scale
Mixtures Distributions 185
S.T.B. Choy and CM. Chan
X
On a Smooth Transition Double Threshold Model 205
Y.N. Lee and W.K. Li
Testing GARCH versus E GARCH 226
S. Ling and M. McAleer
Part IV: Forecasting
Interval Prediction of Financial Time Series 245
B. Cheng and H. Tong
A Decision Theoretic Approach to Forecast Evaluation 261
C. W.J. Granger and M.H. Pesaran
Learning and Forecasting with Stochastic Neural Networks 279
T.L. Lai and S.P. S. Wong
Part V: Applications
The Overreacting Behavior of Real Exchange Rate Dynamics 303
Y. W. Cheung and K.S. Lai
Portfolio Management and Market Risk Quantification Using
Neural Networks 319
J. Franke
Optimal Asset Allocation under GARCH Model 336
W.C. Hui, H. Yang and K.C. Yuen
Statistical Modelling of the J Curve Effect in Trade Balance:
A Case Study 347
W.C. Ip, H. Wong, Z.J. Xie and Y.L. Liu
Ruin Theory with Interest Incomes 355
H. Yang and L. Zhang
Detecting Structural Changes Using Genetic Programming with an
Application to the Greater China Stock Markets 370
X.B. Zhang, Y.K. Tse and W.S. Chan
|
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| spelling | International Workshop on Statistics and Finance 1999 Hongkong Verfasser (DE-588)10021758-8 aut 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 ed.: Wai-Sum Chan ... Statistics and finance London Imperial College Press 2000 X, 384 S. Ill., graph. Darst. txt rdacontent n rdamedia nc rdacarrier Finance Statistical methods Congresses Time-series analysis Congresses Finanzmathematik (DE-588)4017195-4 gnd rswk-swf Finanzstatistik (DE-588)4249667-6 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Statistik (DE-588)4056995-0 gnd rswk-swf Zeitreihenanalyse (DE-588)4067486-1 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content (DE-588)1071861417 Konferenzschrift 1999 Hongkong gnd-content Statistik (DE-588)4056995-0 s Finanzmathematik (DE-588)4017195-4 s DE-604 Kreditmarkt (DE-588)4073788-3 s DE-188 Zeitreihenanalyse (DE-588)4067486-1 s Finanzstatistik (DE-588)4249667-6 s Chan, Wai-Sum Sonstige oth HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=009429362&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | 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 Finance Statistical methods Congresses Time-series analysis Congresses Finanzmathematik (DE-588)4017195-4 gnd Finanzstatistik (DE-588)4249667-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Statistik (DE-588)4056995-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
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| title | 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 |
| title_alt | Statistics and finance |
| title_auth | 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 |
| title_exact_search | 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 |
| title_full | 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 ed.: Wai-Sum Chan ... |
| title_fullStr | 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 ed.: Wai-Sum Chan ... |
| title_full_unstemmed | 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 ed.: Wai-Sum Chan ... |
| title_short | Proceedings of the Hong Kong International Workshop on Statistics and Finance |
| title_sort | 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 |
| title_sub | an interface ; Centre of Financial Time Series, The University of Hong Kong 4 - 8 July 1999 |
| topic | Finance Statistical methods Congresses Time-series analysis Congresses Finanzmathematik (DE-588)4017195-4 gnd Finanzstatistik (DE-588)4249667-6 gnd Kreditmarkt (DE-588)4073788-3 gnd Statistik (DE-588)4056995-0 gnd Zeitreihenanalyse (DE-588)4067486-1 gnd |
| topic_facet | Finance Statistical methods Congresses Time-series analysis Congresses Finanzmathematik Finanzstatistik Kreditmarkt Statistik Zeitreihenanalyse Aufsatzsammlung Konferenzschrift 1999 Hongkong |
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