Indexation and Causation of Financial Markets

• Κύριοι συγγραφείς: Tanokura, Yoko (Συγγραφέας), Kitagawa, Genshiro (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Tokyo : Springer Japan : Imprint: Springer, 2015.
• Έκδοση: 1st ed. 2015.
• Σειρά: SpringerBriefs in Statistics,
• Θέματα: Statistics.; Statistical Theory and Methods.; Statistics for Business/Economics/Mathematical Finance/Insurance.; Statistics for Engineering, Physics, Computer Science, Chemistry and Earth Sciences.

This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index shou...

Πίνακας περιεχομένων:

• 1 Introduction (1.1 Indexation of Financial Markets
• 1.2 Causation of Financial Markets
• 1.3 Nonstationarity of Financial Time Series
• 1.4 State-Space Modeling
• 1.5 Organization of the Book and Related Web Information
• References)
• 2 Method for Constructing a Distribution-Free Index (2.1 Nonstationary Time Series Modeling
• 2.2 Transformation of Non-Gaussian Distributed Prices of a Financial Market
• 2.3 Construction of a Distribution-Free Index
• References)
• 3 Power Contribution Analysis of a Multivariate Feedback System (3.1 Akaike’s Power Contribution and its Generalization
• 3.2 Algorithm for Decomposing a Variance Covariance Matrix
• 3.3 Example of Power Contribution Analysis
• References)
• 4 Application to Financial and Economic Time Series Data (4.1 Detecting Crisis Spillovers in Terms of Sovereign CDS Distribution-Free Indices
• 4.2 Measuring the Impact of the US Subprime Crisis on Japanese Financial Markets
• 4.3 Other Applications: Usability of the Distribution-Free Index)
• References.