Statistical Inference for Financial Engineering

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...

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Bibliographic Details
Main Authors: Taniguchi, Masanobu, Amano, Tomoyuki (Author), Ogata, Hiroaki (Author), Taniai, Hiroyuki (Author)
Format: eBook
Language:English
Published: Cham Springer International Publishing 2014, 2014
Edition:1st ed. 2014
Series:SpringerBriefs in Statistics
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
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505 0 |a Preface -- Features of Financial Data -- Empirical Likelihood Approaches for Financial Returns -- Various Methods for Financial Engineering -- Some Techniques for ARCH Financial Time Series -- Index 
653 |a Mathematics in Business, Economics and Finance 
653 |a Statistics  
653 |a Macroeconomics and Monetary Economics 
653 |a Statistics in Business, Management, Economics, Finance, Insurance 
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653 |a Macroeconomics 
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700 1 |a Ogata, Hiroaki  |e [author] 
700 1 |a Taniai, Hiroyuki  |e [author] 
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520 |a 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