Statistics and finance : an interface : proceedings of the - download pdf or read online

By Wai-Sum Chan; Wai Keung Li; Howell Tong (eds.)

ISBN-10: 1860942377

ISBN-13: 9781860942372

This quantity contains themes akin to: invariants of strongly pseudoconvex CR manifolds; the indispensable formulation of the Pontrjagin attribute varieties on an orientated differentiable manifold; the development of tensor fields and connections at the body package deal; and mobile production structures

Show description

Read or Download Statistics and finance : an interface : proceedings of the Hong Kong International Workshop on Statistics and Finance, Centre of Financial Time Series, the University of Hong Kong, 4-8 July 1999 PDF

Similar statistics books

Download e-book for iPad: Seeking Chances: From Biased Rationality To Distributed by Emanuele Bardone

This ebook explores the belief of human cognition as a chance-seeking method. It deals novel insights approximately tips on how to deal with a few concerns concerning determination making and challenge fixing.

Read e-book online Dependence Modeling: Vine Copula Handbook PDF

This ebook is a collaborative attempt from 3 workshops held during the last 3 years, all regarding critical individuals to the vine-copula method. learn and purposes in vines were turning out to be swiftly and there's now a growing to be have to collate easy effects, and standardize terminology and strategies.

Download PDF by Dennis Howitt, Duncan Cramer: Understanding statistics in psychology with SPSS

Knowing data in Psychology with SPSS seventh variation, deals scholars a relied on, straight forward, and interesting manner of studying tips to perform statistical analyses and use SPSS with self assurance. entire and functional, the textual content is organised via brief, available chapters, making it the correct textual content for undergraduate psychology scholars wanting to become familiar with records at school or independently.

Additional resources for Statistics and finance : an interface : proceedings of the Hong Kong International Workshop on Statistics and Finance, Centre of Financial Time Series, the University of Hong Kong, 4-8 July 1999

Example text

In Section 2 we discuss nonparamet­ ric estimates for the conditional mean and conditional variance of a stochastic process. In order to validate parametric models visually, we need to have confidence intervals or even better simultaneous confidence bands for our nonparametric estimators. Since asymptotic theory for simultaneous confidence bands is not available yet and far from to be easy, we suggest quite a flexible bootstrap approach (wild bootstrap) in order to calculate corresponding critical values.

20) In the Monte Carlo filter, the one-step-ahead predictor p(xn\Yn-\) is approx­ imated by m particles, Pn , . . , Pn ■ Therefore, from Eq. (15), we have an approximation . m p(y»|V„-,) « / p ( y „ | x n ) - ^ / ( x n ; P ^ ) ) d x n 30 1 m = -X>( p i J ) i y »->)On the other hand, if N observations Y^ = hood of the model is expressed as (21) are given, the likeli­ {V\,---,VN} N L{9) = p(YN) = p(YN^)p(yN\YN-i) = ••• = n * « I V i ) . (22) n=l Therefore, the log-likelihood of the stochastics volatility model is defined by using the one-step-ahead predictive distribution, p(yn\Yn-\), N .

One usual way is to plot the pointwise standard deviation or a (1 — a) pointwise confidence interval around the estimates. Such pointwise confidence bands, or better more precisely pointwise confidence intervals, can be derived from asymptotic theory or from a bootstrap procedure as will be shown later. 005, of conditional deviation of daily log-returns for the US $/DM FX rate (1989-98) But what we actually need is much more, namely a simultaneous confidence band, which contains, at least asymptotically, the underlying true function m or s with probability not less than 1 — Q.

Download PDF sample

Statistics and finance : an interface : proceedings of the Hong Kong International Workshop on Statistics and Finance, Centre of Financial Time Series, the University of Hong Kong, 4-8 July 1999 by Wai-Sum Chan; Wai Keung Li; Howell Tong (eds.)


by Michael
4.0

Rated 4.67 of 5 – based on 40 votes