Risk Estimation on High Frequency Financial Data, Florian Jacob

Автор: Eric Gautier and Pierre Alquier
Название: Inverse problems and high-dimensional estimation
ISBN: 3642199887 ISBN-13(EAN): 9783642199882
Издательство: Springer
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Цена: 15372.00 р.
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Описание: The product of a high-flying summer school in Paris in 2009, this volume synthesises the state of the art on ill-posed statistical inverse problems and high-dimensional estimation and explores the ways these techniques can be applied to economics.

Автор: Tsay
Название: An Introduction to Analysis of Financial Data with R
ISBN: 0470890819 ISBN-13(EAN): 9780470890813
Издательство: Wiley
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Цена: 18683.00 р.
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Описание: A complete set of statistical tools for beginning financial analysts from a leading authority Written by one of the leading experts on the topic, An Introduction to Analysis of Financial Data with R explores basic concepts of visualization of financial data.

Автор: Malevergne Yannick, Sornette Didier
Название: Extreme Financial Risks / From Dependence to Risk Management
ISBN: 354027264X ISBN-13(EAN): 9783540272649
Издательство: Springer
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Цена: 9781.00 р.
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Описание: Portfolio analysis and optimization, together with the associated risk assessment and management, require knowledge of the likely distributions of returns at different time scales and insights into the nature and properties of dependences between the different assets.This book offers an original and thorough treatment of these two domains, focusing mainly on the concepts and tools that remain valid for large and extreme price moves. Strong emphasis is placed on the theory of copulas and their empirical testing and calibration, because they offer intrinsic and complete measures of dependences.Extreme Financial Risks will be useful to: students looking for a general and in-depth introduction to the field; financial engineers, economists, econometricians, actuarial professionals; researchers and mathematicians looking for a synoptic view comparing the pros and cons of different modelling strategies; andquantitative practitioners for the insights offered on the subtleties and the many dimensional components of both risk and dependence. In toto, the content of this book will also be useful to a broader scientific community interested in quantifying the complexity of many natural and artificial processes in which a growing emphasis is on the role and importance of extreme phenomena.

Автор: Luc Bauwens; Winfried Pohlmeier; David Veredas
Название: High Frequency Financial Econometrics
ISBN: 3790825409 ISBN-13(EAN): 9783790825404
Издательство: Springer
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Цена: 21661.00 р.
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Описание: Shedding light on some of the most pressing open questions in the analysis of high frequency data, this volume presents cutting-edge developments in high frequency financial econometrics.

Автор: Pourahmadi Mohsen
Название: High-dimensional Covariance Estimation
ISBN: 1118034295 ISBN-13(EAN): 9781118034293
Издательство: Wiley
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Цена: 12664.00 р.
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Описание: Methods for estimating sparse and large covariance matrices Covariance and correlation matrices play fundamental roles in every aspect of the analysis of multivariate data collected from a variety of fields including business and economics, health care, engineering, and environmental and physical sciences.

Автор: Longford, Nicholas T. (de Montfort University)
Название: Missing data and small-area estimation
ISBN: 1849969078 ISBN-13(EAN): 9781849969079
Издательство: Springer
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Цена: 21661.00 р.
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Описание: For the Fellowship I proposed these two topics as areas in which the academic statistics could contribute to the development of government statistics, in exchange for access to the operational details and background that would inform the direction and sharpen the focus of a- demic research.

Автор: D. G. Saphire
Название: Estimation of Victimization Prevalence Using Data from the National Crime Survey
ISBN: 0387960201 ISBN-13(EAN): 9780387960203
Издательство: Springer
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Цена: 16070.00 р.
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Описание: One such model fits the data very well. Three models are fit to the data: i) a homogeneous Bernoulli model. under which victimization is independent from month to month ii) a correlated Bernoulli model. The other two models fit the 1975 data well.

Автор: V. Vapnik; S. Kotz
Название: Estimation of Dependences Based on Empirical Data
ISBN: 1441921583 ISBN-13(EAN): 9781441921581
Издательство: Springer
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Цена: 25853.00 р.
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Описание: Afterword of 2006

Автор: Chris Harris; Xia Hong; Qiang Gan
Название: Adaptive Modelling, Estimation and Fusion from Data
ISBN: 3642621198 ISBN-13(EAN): 9783642621192
Издательство: Springer
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Цена: 13974.00 р.
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Описание: This book brings together for the first time the complete theory of data based neurofuzzy modelling and the linguistic attributes of fuzzy logic in a single cohesive mathematical framework. The book aims at researchers and advanced professionals in time series modelling, empirical data modelling, knowledge discovery, data mining and data fusion.