Nonparametric estimation of the jump component in financial time series:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2012
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| Schlagworte: | |
| Online-Zugang: | Volltext http://d-nb.info/102522423X/34 https://nbn-resolving.org/urn:nbn:de:bvb:19-146694 Inhaltsverzeichnis |
| Beschreibung: | VIII, 144 S. graph. Darst. |
Internformat
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| 245 | 1 | 0 | |a Nonparametric estimation of the jump component in financial time series |c Serkan Yener |
| 264 | 1 | |c 2012 | |
| 300 | |a VIII, 144 S. |b graph. Darst. | ||
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Datensatz im Suchindex
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|---|---|
| adam_text | IMAGE 1
CONTENTS
NOTATIONS III
LIST O F FIGURES VI
LIST O F TABLES VII
INTRODUCTION 1
1 LEVY PROCESSES 9
1.1 DEFINITION. EXAMPLES & BASIC PROPERTIES 10
1.2 FURTHER PROPERTIES & CLASSIFICATION 22
1.3 POISSON RANDOM MEASURE & LEVY DENSITY 25
1.4 W H Y PURE-JUMP LEVY PROCESSES? 32
1.4.1 A N ECONOMIC POINT OF VIEW 32
1.4.2 A STATISTICAL POINT OF VIEW 34
1.4.3 SUBORDINATION & RANDOM TIME CHANGE 37
2 METHOD O F SIEVES 41
2.1 MINIMA,X OPTIMALITV & ADAPTATION 42
2.2 NONPARAMET,RIC ESTIMATION VIA SIEVES 46
2.3 ORTHOGONAL PROJECTION ESTIMATION ON FIXED SIEVE 54
2.4 PENALIZED MODEL SELECTION ON SIEVES 58
2.5 LEVY DENSITY ESTIMATION WITH DISCRETELY SAMPLED DATA 61
2.6 HISTOGRAM ESTIMATION BASED ON SIEVES 64
I
HTTP://D-NB.INFO/1026657318
IMAGE 2
I I . CONTENTS
2.A PROOFS & AUXILIARY RESULTS FOR CHAPTER 2 68
3 NONPARAMETRIC ESTIMATION VIA WAVELETS 73
3.1 MOTIVATION & DEFINITIONS 74
3.2 WAVELET ESTIMATORS 80
4 SIMULATIONS & APPLICATIONS 85
4.1 VARIANCE G A M M A PROCESSES 86
4.2 LEVY-DRIVEN ORNSTEIN-UHLENBECK PROCESSES 101
OUTLOOK 113
A MATHEMATICAL REVIEW 115
A . L REVIEW OF RELEVANT PROBABILITY THEORY 116
BIBLIOGRAPHY 127
EIDESSTATTLICHE VERSICHERUNG 143
|
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| discipline | Mathematik |
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| illustrated | Illustrated |
| indexdate | 2024-07-10T00:25:26Z |
| institution | BVB |
| language | English |
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| oclc_num | 816363639 |
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| physical | VIII, 144 S. graph. Darst. |
| psigel | ebook |
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| spelling | Yener, Serkan Verfasser aut Nonparametric estimation of the jump component in financial time series Serkan Yener 2012 VIII, 144 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier München, Univ., Diss., 2012 (DE-588)4113937-9 Hochschulschrift gnd-content Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:19-146694 http://edoc.ub.uni-muenchen.de/14669/ Verlag kostenfrei Volltext http://d-nb.info/102522423X/34 Langzeitarchivierung Nationalbibliothek https://nbn-resolving.org/urn:nbn:de:bvb:19-146694 Resolving-System DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025358503&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Yener, Serkan Nonparametric estimation of the jump component in financial time series |
| subject_GND | (DE-588)4113937-9 |
| title | Nonparametric estimation of the jump component in financial time series |
| title_auth | Nonparametric estimation of the jump component in financial time series |
| title_exact_search | Nonparametric estimation of the jump component in financial time series |
| title_full | Nonparametric estimation of the jump component in financial time series Serkan Yener |
| title_fullStr | Nonparametric estimation of the jump component in financial time series Serkan Yener |
| title_full_unstemmed | Nonparametric estimation of the jump component in financial time series Serkan Yener |
| title_short | Nonparametric estimation of the jump component in financial time series |
| title_sort | nonparametric estimation of the jump component in financial time series |
| topic_facet | Hochschulschrift |
| url | http://edoc.ub.uni-muenchen.de/14669/ http://d-nb.info/102522423X/34 https://nbn-resolving.org/urn:nbn:de:bvb:19-146694 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025358503&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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