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.
Gespeichert in:
| Körperschaft: | |
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| Weitere Verfasser: | , , |
| Format: | Elektronisch Tagungsbericht E-Book |
| Sprache: | English |
| Veröffentlicht: |
London : River Edge, NJ :
Imperial College Press ; Distributed by World Scientific Pub.,
©2000.
|
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | 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. |
| Beschreibung: | 1 online resource (x, 384 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9781848160156 1848160151 |
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| 245 | 1 | 0 | |a Proceedings of the Hong Kong International Workshop on Statistics and Finance : |b an interface : Centre of Financial Time Series, the University of Hong Kong, 4-8 July 1999 / |c editors Wai-Sun Chan, Wai Keung Li & Howell Tong. |
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| 505 | 0 | |a 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. Müller -- 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. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Finance |x Statistical methods |v Congresses. | |
| 650 | 0 | |a Time-series analysis |v Congresses. | |
| 650 | 6 | |a Finances |x Méthodes statistiques |v Congrès. | |
| 650 | 6 | |a Série chronologique |v Congrès. | |
| 650 | 7 | |a BUSINESS & ECONOMICS |x Finance. |2 bisacsh | |
| 650 | 7 | |a Finance |x Statistical methods |2 fast | |
| 650 | 7 | |a Time-series analysis |2 fast | |
| 650 | 7 | |a Aufsatzsammlung |2 gnd | |
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| 655 | 4 | |a Aufsatzsammlung. | |
| 655 | 4 | |a Kongress (Hongkong, 1999) | |
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| 700 | 1 | |a Chan, Wai-Sum. | |
| 700 | 1 | |a Li, Wai Keung, |d 1953- |1 https://id.oclc.org/worldcat/entity/E39PCjy7YBTD63q893wR3WYWym |0 http://id.loc.gov/authorities/names/n00096016 | |
| 700 | 1 | |a Tong, Howell. | |
| 758 | |i has work: |a Proceedings of the Hong Kong International Workshop on Statistics and Finance (Text) |1 https://id.oclc.org/worldcat/entity/E39PCGBHPXhKqpXBRJPJHPTjFq |4 https://id.oclc.org/worldcat/ontology/hasWork | ||
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| contents | 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. Müller -- 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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| dewey-sort | 3332 11 45195 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Electronic Conference Proceeding eBook |
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| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (x, 384 pages) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 2000 |
| publishDateSearch | 2000 |
| publishDateSort | 2000 |
| publisher | Imperial College Press ; Distributed by World Scientific Pub., |
| record_format | marc |
| spelling | Hong Kong International Workshop on Statistics and Finance (1999 : Centre of Financial Time Series, University of Hong Kong) http://id.loc.gov/authorities/names/n2001053250 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 / editors Wai-Sun Chan, Wai Keung Li & Howell Tong. London : Imperial College Press ; River Edge, NJ : Distributed by World Scientific Pub., ©2000. 1 online resource (x, 384 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references. Print version record. 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. Müller -- 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. 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. Finance Statistical methods Congresses. Time-series analysis Congresses. Finances Méthodes statistiques Congrès. Série chronologique Congrès. BUSINESS & ECONOMICS Finance. bisacsh Finance Statistical methods fast Time-series analysis fast Aufsatzsammlung gnd Finanzmathematik gnd Statistik gnd Aufsatzsammlung. Kongress (Hongkong, 1999) Conference papers and proceedings fast Chan, Wai-Sum. Li, Wai Keung, 1953- https://id.oclc.org/worldcat/entity/E39PCjy7YBTD63q893wR3WYWym http://id.loc.gov/authorities/names/n00096016 Tong, Howell. has work: Proceedings of the Hong Kong International Workshop on Statistics and Finance (Text) https://id.oclc.org/worldcat/entity/E39PCGBHPXhKqpXBRJPJHPTjFq https://id.oclc.org/worldcat/ontology/hasWork Print version: Hong Kong International Workshop on Statistics and Finance (1999 : Centre of Financial Time Series, University of Hong Kong). Proceedings of the Hong Kong International Workshop on Statistics and Finance. London : Imperial College Press ; River Edge, NJ : Distributed by World Scientific Pub., ©2000 9781860942372 (DLC) 00035100 (OCoLC)43836411 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=532558 Volltext |
| 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 / 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. Müller -- 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. Finance Statistical methods Congresses. Time-series analysis Congresses. Finances Méthodes statistiques Congrès. Série chronologique Congrès. BUSINESS & ECONOMICS Finance. bisacsh Finance Statistical methods fast Time-series analysis fast Aufsatzsammlung gnd Finanzmathematik gnd Statistik gnd |
| 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_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 / editors Wai-Sun Chan, Wai Keung Li & Howell Tong. |
| 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 / editors Wai-Sun Chan, Wai Keung Li & Howell Tong. |
| 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 / editors Wai-Sun Chan, Wai Keung Li & Howell Tong. |
| 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. Finances Méthodes statistiques Congrès. Série chronologique Congrès. BUSINESS & ECONOMICS Finance. bisacsh Finance Statistical methods fast Time-series analysis fast Aufsatzsammlung gnd Finanzmathematik gnd Statistik gnd |
| topic_facet | Finance Statistical methods Congresses. Time-series analysis Congresses. Finances Méthodes statistiques Congrès. Série chronologique Congrès. BUSINESS & ECONOMICS Finance. Finance Statistical methods Time-series analysis Aufsatzsammlung Finanzmathematik Statistik Aufsatzsammlung. Kongress (Hongkong, 1999) Conference papers and proceedings |
| url | https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=532558 |
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