Statistical Models and Methods for Financial Markets

• Main Authors: Lai, Tze Leung (Author), Xing, Haipeng (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2008.
• Series: Springer Texts in Statistics,
• Subjects: Economics, Mathematical.; Probabilities.; Statistics.; Public finance.; Economics.; Public Economics.; Probability Theory and Stochastic Processes.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Quantitative Finance.

This book presents statistical methods and models of importance to quantitative finance and links finance theory to market practice via statistical modeling and decision making. Part I provides basic background in statistics, which includes linear regression and extensions to generalized linear mode...

Table of Contents:

• Basic Statistical Methods and Financial Applications
• Linear Regression Models
• Multivariate Analysis and Likelihood Inference
• Basic Investment Models and Their Statistical Analysis
• Parametric Models and Bayesian Methods
• Time Series Modeling and Forecasting
• Dynamic Models of Asset Returns and Their Volatilities
• Advanced Topics in Quantitative Finance
• Nonparametric Regression and Substantive-Empirical Modeling
• Option Pricing and Market Data
• Advanced Multivariate and Time Series Methods in Financial Econometrics
• Interest Rate Markets
• Statistical Trading Strategies
• Statistical Methods in Risk Management.