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Copulae and Multivariate Probability Distributions in Finance, 



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Название:  Copulae and Multivariate Probability Distributions in Finance   (Многомерные вероятностные распределения в финансах)
Издательство: Taylor&Francis
Классификация:
Экономика
Теория и философия экономики
Эконометрика
Международная экономика
Финансы и бухгалтерский учет

ISBN: 0415814855
ISBN-13(EAN): 9780415814850
ISBN: 0-415-81485-5
ISBN-13(EAN): 978-0-415-81485-0
Обложка/Формат: Hardback
Страницы: 208
Вес: 0.636 кг.
Дата издания: 21.03.2013
Серия: Economics/Business/Finance
Язык: ENG
Размер: 253 x 194 x 17
Читательская аудитория: Postgraduate, research & scholarly
Ключевые слова: Economics, BUSINESS & ECONOMICS / General
Ссылка на Издательство: Link
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Поставляется из: Англии
Описание: Portfolio theory and much of asset pricing, as well as many empirical applications, depend on the use of multivariate probability distributions to describe asset returns. Traditionally, this has meant the multivariate normal (or Gaussian) distribution. More recently, theoretical and empirical work in financial economics has employed the multivariate Student (and other) distributions which are members of the elliptically symmetric class. There is also a growing body of work which is based on skew-elliptical distributions. These probability models all exhibit the property that the marginal distributions differ only by location and scale parameters or are restrictive in other respects. Very often, such models are not supported by the empirical evidence that the marginal distributions of asset returns can differ markedly. Copula theory is a branch of statistics which provides powerful methods to overcome these shortcomings. This book provides a synthesis of the latest research in the area of copulae as applied to finance and related subjects such as insurance. Multivariate non-Gaussian dependence is a fact of life for many problems in financial econometrics. This book describes the state of the art in tools required to deal with these observed features of financial data. This book was originally published as a special issue of the European Journal of Finance.
Дополнительное описание:




Statistical Size Distributions in Economics and Actuarial Sciences

Автор: Christian Kleiber
Название: Statistical Size Distributions in Economics and Actuarial Sciences
ISBN: 0471150649 ISBN-13(EAN): 9780471150640
Издательство: Wiley
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Цена: 15048 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Providing insight into a field of study that is now gaining global importance, this comprehensive treatment of statistical size distributions:
* Describes in-full more than 25 models
* Covers Lorenz curves, multimodal, and multivariate distributions
* Pays specific attention to Italian, and to some degree Japanese sources
* Emphasizes interrelations among various families
* Accounts for more than 200 personal papers, theses, and technical reports by the authors, representing over 40 combined years of study and research
* Opens a formerly European field to the global market

Demand and Supply of Aggregate Exports of Goods and Services / Multivariate Cointegration Analyses for the United States, Canada, and Germany

Автор: StrauГџ Hubert
Название: Demand and Supply of Aggregate Exports of Goods and Services / Multivariate Cointegration Analyses for the United States, Canada, and Germany
ISBN: 3540222944 ISBN-13(EAN): 9783540222941
Издательство: Springer
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Цена: 12154 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: In this book export demand and supply are modeled simultaneously using a new proxy for globalization. Empirical estimates for the United States, Canada, and Germany show that the countries differ as to the price elasticities of demand and supply and the effects of globalization. However, the elasticity of exports to world production equals unity throughout, which is in line with constant returns to scale, but lower than the values found in previous studies that do not distinguish between growth and globalization. 

Partial Identification of Probability Distributions

Автор: Manski Charles F.
Название: Partial Identification of Probability Distributions
ISBN: 0387004548 ISBN-13(EAN): 9780387004549
Издательство: Springer
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Цена: 12154 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Presents the studies of identification that aim to characterize the conclusions that one could draw about a population of interest if one were able to observe a sample of unlimited size generated by a specified sampling process. This book is suitable for PhD students and practicing statisticians and econometricians.

Financial Modeling Under Non-Gaussian Distributions

Автор: Jondeau
Название: Financial Modeling Under Non-Gaussian Distributions
ISBN: 1846284198 ISBN-13(EAN): 9781846284199
Издательство: Springer
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Цена: 9349 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The use of Gaussian models when the asset return distributions are not normal could lead to a wrong choice of portfolio, the underestimation of extreme losses or mispriced derivative products. This book deals with the non-Gaussian distributions and addresses the consequences of non-normality and time dependency in asset returns and option prices.

Modeling Income Distributions and Lorenz Curves

Автор: Chotikapanich
Название: Modeling Income Distributions and Lorenz Curves
ISBN: 0387727566 ISBN-13(EAN): 9780387727561
Издательство: Springer
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Цена: 19542 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The parameterization of income distributions using Lorenz Curves is a useful technique to analyze the characteristics of income inequality within a given population. This book brings together classic papers in the field including cutting-edge contributions.

Modeling Income Distributions and Lorenz Curves

Автор: Duangkamon Chotikapanich
Название: Modeling Income Distributions and Lorenz Curves
ISBN: 1441924930 ISBN-13(EAN): 9781441924933
Издательство: Springer
Рейтинг:
Цена: 19542 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: The parameterization of income distributions using Lorenz Curves is a useful technique to analyze the characteristics of income inequality within a given population. This book brings together classic papers in the field including cutting-edge contributions.

Ranking Of Multivariate Populations

Автор: Corain
Название: Ranking Of Multivariate Populations
ISBN: 1466505540 ISBN-13(EAN): 9781466505544
Издательство: Taylor&Francis
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Цена: 7836 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Ranking of Multivariate Populations: A Permutation Approach with Applications presents a novel permutation-based nonparametric approach for ranking several multivariate populations. Using data collected from both experimental and observation studies, it covers some of the most useful designs widely applied in research and industry investigations, such as multivariate analysis of variance (MANOVA) and multivariate randomized complete block (MRCB) designs. The first section of the book introduces the topic of ranking multivariate populations by presenting the main theoretical ideas and an in-depth literature review. The second section discusses a large number of real case studies from four specific research areas: new product development in industry, perceived quality of the indoor environment, customer satisfaction, and cytological and histological analysis by image processing. A web-based nonparametric combination global ranking software is also described. Designed for practitioners and postgraduate students in statistics and the applied sciences, this application-oriented book offers a practical guide to the reliable global ranking of multivariate items, such as products, processes, and services, in terms of the performance of all investigated products/prototypes.

Multivariate Modelling of Non-Stationary Economic Time Series

Автор: Simon P. Burke; John Hunter; Alessandra Canepa
Название: Multivariate Modelling of Non-Stationary Economic Time Series
ISBN: 0230243312 ISBN-13(EAN): 9780230243316
Издательство: Springer
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Цена: 5609 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models.

Multivariate Modelling of Non-Stationary Economic Time Series

Автор: Simon P. Burke; John Hunter; Alessandra Canepa
Название: Multivariate Modelling of Non-Stationary Economic Time Series
ISBN: 0230243304 ISBN-13(EAN): 9780230243309
Издательство: Springer
Рейтинг:
Цена: 18699 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: This book examines conventional time series in the context of stationary data prior to a discussion of cointegration, with a focus on multivariate models.

Applied Multivariate Statistical Analysis

Автор: H?rdle
Название: Applied Multivariate Statistical Analysis
ISBN: 3642172288 ISBN-13(EAN): 9783642172281
Издательство: Springer
Цена: 7475 р.
Наличие на складе: Поставка под заказ.

Описание: Most of the observable phenomena in the empirical sciences are of a multivariate nature.  In financial studies, assets are observed simultaneously and their joint development is analysed to better understand general risk and to track indices.  In medicine recorded observations of subjects in different locations are the basis of reliable diagnoses and medication.  In quantitative marketing consumer preferences are collected in order to construct models of consumer behavior.  The underlying data structure of these and many other quantitative studies of applied sciences is multivariate.  Focusing on applications this book presents the tools and concepts of multivariate data analysis in a way that is understandable for non-mathematicians and practitioners who need to analyze statistical data.  The book surveys the basic principles of multivariate statistical data analysis and emphasizes both exploratory and inferential statistics.  All chapters have exercises that highlight applications in different fields.The third edition of this book on Applied Multivariate Statistical Analysis offers the following new featuresA new Chapter on Regression Models has been addedAll numerical examples have been redone, updated and made reproducible in MATLAB or R, see www.quantlet.org for a repository of quantlets.

Multivariate Nonparametric Methods with R

Автор: Oja Hannu
Название: Multivariate Nonparametric Methods with R
ISBN: 1441904670 ISBN-13(EAN): 9781441904676
Издательство: Springer
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Цена: 12154 р.
Наличие на складе: Есть у поставщика Поставка под заказ.

Описание: Offers a fresh, fairly efficient, and robust alternative to analyzing multivariate data. This monograph provides an overview of the theory of multivariate nonparametric methods based on spatial signs and ranks. It uses marginal signs and ranks and different type of L1 norm.

Applied Multivariate Statistical Analysis

Автор: H?rdle
Название: Applied Multivariate Statistical Analysis
ISBN: 3540722432 ISBN-13(EAN): 9783540722434
Издательство: Springer
Рейтинг:
Цена: 7475 р.
Наличие на складе: Поставка под заказ.

Описание: Most of the observable phenomena in the empirical sciences are of a multivariate nature; whether it be in financial studies, medicine or quantitative marketing, where consumer preferences are collected in order to construct models of consumer behavior. This book presents the tools and concepts of multivariate data analysis.


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