Titlebook: Statistics of Financial Markets; An Introduction Jürgen Franke,Wolfgang Karl H?rdle,Christian Matth Textbook 20154th edition Springer-Verla

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書目名稱Statistics of Financial Markets影響因子(影響力)




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https://doi.org/10.1007/978-3-642-54539-9ARIMA; Copulae; Credit Risk; Discrete Time Dynamics; Exotic Options; Financial Time Series; Neural Network

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Non-parametric and Flexible Time Series EstimatorsWith the analysis of (financial) time series, one of the most important goals is to produce forecasts. Using past data one can argue about the future mean, the future volatility, and so on, however a flexible method of producing such estimates will be introduced in this chapter.

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Value-at-Risk and BacktestingThe Value-at-Risk (VaR) is probably the most known measure for quantifying and controlling the risk of a portfolio. The establishment of VaR is of central importance to a credit institute, since it is the basis for a regulatory notification technique and for required equity investments.

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Springer-Verlag GmbH Germany, part of Springer Nature 2015

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