Robust Bayesian Analysis Of Heavy Tailed Stochastic Volatility Models Using Scale Mixtures Of Normal Distributions
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Robust Bayesian Analysis Of Heavy Tailed Stochastic Volatility Models Using Scale Mixtures Of Normal Distributions
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Author : C. A. Abanto-Valle
language : en
Publisher:
Release Date : 2008
Robust Bayesian Analysis Of Heavy Tailed Stochastic Volatility Models Using Scale Mixtures Of Normal Distributions written by C. A. Abanto-Valle and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008 with Bayesian statistical decision theory categories.
Bayesian Analysis Of Stochastic Process Models
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Author : David Insua
language : en
Publisher: John Wiley & Sons
Release Date : 2012-04-02
Bayesian Analysis Of Stochastic Process Models written by David Insua and has been published by John Wiley & Sons this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-04-02 with Mathematics categories.
Bayesian analysis of complex models based on stochastic processes has in recent years become a growing area. This book provides a unified treatment of Bayesian analysis of models based on stochastic processes, covering the main classes of stochastic processing including modeling, computational, inference, forecasting, decision making and important applied models. Key features: Explores Bayesian analysis of models based on stochastic processes, providing a unified treatment. Provides a thorough introduction for research students. Computational tools to deal with complex problems are illustrated along with real life case studies Looks at inference, prediction and decision making. Researchers, graduate and advanced undergraduate students interested in stochastic processes in fields such as statistics, operations research (OR), engineering, finance, economics, computer science and Bayesian analysis will benefit from reading this book. With numerous applications included, practitioners of OR, stochastic modelling and applied statistics will also find this book useful.
Skew Elliptical Distributions And Their Applications
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Author : Marc G. Genton
language : en
Publisher: CRC Press
Release Date : 2004-07-27
Skew Elliptical Distributions And Their Applications written by Marc G. Genton and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-07-27 with Mathematics categories.
This book reviews the state-of-the-art advances in skew-elliptical distributions and provides many new developments in a single volume, collecting theoretical results and applications previously scattered throughout the literature. The main goal of this research area is to develop flexible parametric classes of distributions beyond the classical normal distribution. The book is divided into two parts. The first part discusses theory and inference for skew-elliptical distribution. The second part examines applications and case studies, including areas such as economics, finance, oceanography, climatology, environmetrics, engineering, image processing, astronomy, and biomedical science.
Econometria Financeira
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Author : Pedro A. Morettin
language : pt-BR
Publisher: Editora Blucher
Release Date : 2017-09-13
Econometria Financeira written by Pedro A. Morettin and has been published by Editora Blucher this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-13 with Business & Economics categories.
O livro Econometria Financeira resulta da experiência vivenciada pelo autor, em vários anos, de ministrar cursos na área no Instituto de Matemática e Estatística da Universidade de São Paulo. Seu conteúdo didático e prático é dirigido para alunos de pós-graduação, mestrado e doutorado em áreas como Estatística, Economia, Finanças e afins. O tema da obra se destaca de forma prática e funcional pelo espaço dedicado a análises de séries reais, com uso intensivo de pacotes computacionais apropriados, fato que a indica como literatura obrigatória para estudantes e profissionais do mercado financeiro.
Statistical Methods In Finance
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Author : G. S. Maddala
language : en
Publisher:
Release Date : 1996-12-11
Statistical Methods In Finance written by G. S. Maddala and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1996-12-11 with Business & Economics categories.
A comprehensive reference work for teaching at graduate level and research in empirical finance. The chapters cover a wide range of statistical and probabilistic methods applied to a variety of financial methods and are written by internationally renowned experts.
Econometric Modelling With Time Series
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Author : Vance Martin
language : en
Publisher: Cambridge University Press
Release Date : 2013
Econometric Modelling With Time Series written by Vance Martin and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013 with Business & Economics categories.
"Maximum likelihood estimation is a general method for estimating the parameters of econometric models from observed data. The principle of maximum likelihood plays a central role in the exposition of this book, since a number of estimators used in econometrics can be derived within this framework. Examples include ordinary least squares, generalized least squares and full-information maximum likelihood. In deriving the maximum likelihood estimator, a key concept is the joint probability density function (pdf) of the observed random variables, yt. Maximum likelihood estimation requires that the following conditions are satisfied. (1) The form of the joint pdf of yt is known. (2) The specification of the moments of the joint pdf are known. (3) The joint pdf can be evaluated for all values of the parameters, 9. Parts ONE and TWO of this book deal with models in which all these conditions are satisfied. Part THREE investigates models in which these conditions are not satisfied and considers four important cases. First, if the distribution of yt is misspecified, resulting in both conditions 1 and 2 being violated, estimation is by quasi-maximum likelihood (Chapter 9). Second, if condition 1 is not satisfied, a generalized method of moments estimator (Chapter 10) is required. Third, if condition 2 is not satisfied, estimation relies on nonparametric methods (Chapter 11). Fourth, if condition 3 is violated, simulation-based estimation methods are used (Chapter 12). 1.2 Motivating Examples To highlight the role of probability distributions in maximum likelihood estimation, this section emphasizes the link between observed sample data and 4 The Maximum Likelihood Principle the probability distribution from which they are drawn"-- publisher.
Mathematical Reviews
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Author :
language : en
Publisher:
Release Date : 1998
Mathematical Reviews written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1998 with Mathematics categories.
The Fundamentals Of Heavy Tails
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Author : Jayakrishnan Nair
language : en
Publisher: Cambridge University Press
Release Date : 2022-06-09
The Fundamentals Of Heavy Tails written by Jayakrishnan Nair and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-06-09 with Business & Economics categories.
An accessible yet rigorous package of probabilistic and statistical tools for anyone who must understand or model extreme events.
Dissertation Abstracts International
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Author :
language : en
Publisher:
Release Date : 2006
Dissertation Abstracts International written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with Dissertations, Academic categories.
Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management
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Author : Michele Leonardo Bianchi
language : en
Publisher: World Scientific
Release Date : 2019-03-08
Handbook Of Heavy Tailed Distributions In Asset Management And Risk Management written by Michele Leonardo Bianchi and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2019-03-08 with Business & Economics categories.
The study of heavy-tailed distributions allows researchers to represent phenomena that occasionally exhibit very large deviations from the mean. The dynamics underlying these phenomena is an interesting theoretical subject, but the study of their statistical properties is in itself a very useful endeavor from the point of view of managing assets and controlling risk. In this book, the authors are primarily concerned with the statistical properties of heavy-tailed distributions and with the processes that exhibit jumps. A detailed overview with a Matlab implementation of heavy-tailed models applied in asset management and risk managements is presented. The book is not intended as a theoretical treatise on probability or statistics, but as a tool to understand the main concepts regarding heavy-tailed random variables and processes as applied to real-world applications in finance. Accordingly, the authors review approaches and methodologies whose realization will be useful for developing new methods for forecasting of financial variables where extreme events are not treated as anomalies, but as intrinsic parts of the economic process.