Statistical Inference for Financial Engineering

✍ Scribed by Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai (auth.)

Publisher: Springer International Publishing
Year: 2014
Tongue: English
Leaves: 125
Series: SpringerBriefs in Statistics
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering.

This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.

✦ Table of Contents

Front Matter....Pages i-x
Features of Financial Data....Pages 1-39
Empirical Likelihood Approaches for Financial Returns....Pages 41-64
Various Methods for Financial Engineering....Pages 65-83
Some Techniques for ARCH Financial Time Series....Pages 85-116
Back Matter....Pages 117-118

✦ Subjects

Statistics for Business/Economics/Mathematical Finance/Insurance; Quantitative Finance; Financial Economics

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