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Proceedings of the Hong Kong International Workshop on Statistics and Finance : an interface : Centre of Financial Time Series, the University of Hong Kong, 4-8 July 1999 /

This volume constitutes the proceedings of the Hong Kong International Workshop on Statistics in Finance, held at the University of Hong Kong in July 1999. Topics covered include heavy-tailed and nonlinear continuous-time ARMA models for financial time series, and forecast evaluation.

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Bibliographic Details
Corporate Authors: Hong Kong International Workshop on Statistics and Finance Centre of Financial Time Series, University of Hong Kong); World Scientific (Firm)
Group Author: Chan, Wai-Sum (Editor); Li, Wai Keung, 1953- (Editor); Tong, Howell. (Editor)
Published: Imperial College Press ; Distributed by World Scientific Pub. Co.,
Publisher Address: London : Singapore :
Publication Dates: 2000.
Literature type: eBook
Language: English
Subjects:
Finance > Statistical methods > Congresses.
Time-series analysis > Congresses.
Electronic books.
Online Access: http://www.worldscientific.com/worldscibooks/10.1142/P202#t=toc
Summary: This volume constitutes the proceedings of the Hong Kong International Workshop on Statistics in Finance, held at the University of Hong Kong in July 1999. Topics covered include heavy-tailed and nonlinear continuous-time ARMA models for financial time series, and forecast evaluation.
Carrier Form: 1 online resource (x,384pages) : illustrations
Bibliography: Includes bibliographical references.
ISBN: 9781848160156 (electronic bk.)
CLC: F8-32
Contents: pt. I. Time series methodology. Heavy-tailed and non-linear continuous-time ARMA models for financial time series / P.J. Brockwell -- Nonlinear state space model approach to financial time series with time-varying variance / G. Kitagawa and S. Sato -- Nonparametric estimation and bootstrap for financial time series / J.-P. Kreif[symbol] -- Comparison of two discretization methods for estimating continuous-time autoregressive models / H. Tsai and K.S. Chan -- A note on kernel estimation in integrated time series / Y.-C. Xia, W.K. Li and H. Tong -- pt. II. Long memory and value at risk. Stylized facts on the temporal and distributional properties of absolute returns: an update / C.W.J. Granger, S. Spear and Z.-X. Ding -- Volatility computed by time series operators at high frequency / U.A. M ller -- Missing values in ARFIMA models / W. Palma -- Second order tail effects / C.G. de Vries -- pt. III. Volatility. Recent developments in heteroskedastic time series / N.H. Chan and G. Petris -- Bayesian estimation of stochastic volatility model via scale mixtures distributions / S.T.B. Choy and C.M. Chan -- On a smooth transition double threshold model / Y.N. Lee and W.K. Li -- Testing GARCH versus E-GARCH / S. Ling and M. McAleer -- pt. IV. Forecasting. Interval prediction of financial time series / B. Cheng and H. Tong -- A decision theoretic approach to forecast evaluation / C.W.J. Granger and M.H. Pesaran -- Learning and forecasting with stochastic neural networks / T.L. Lai and S.P.-S. Wong -- pt. V. Applications. The overreacting behavior of real exchange rate dynamics / Y.-W. Cheung and K.S. Lai -- Portfolio management and market risk quantification using neural networks / J. Franke -- Optimal asset allocation under GARCH model / W.C. Hui, H. Yang and K.C. Yuen -- Statistical modelling of the J-curve effect in trade balance: a case study / W.C. Ip ... [et al.] -- Ruin theory with interest incomes / H. Yang and L. Zhang -- Detecting structural changes using genetic programming with an application to the greater-China stock markets / X.B. Zhang, Y.K. Tse and W.S. Chan.

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