Modeling Sequences of Long Memory Non-negative Covariance Stationary Random Variables PDF Download

Author: Dmitri Koulikov
Publisher:
ISBN:
Category :
Languages : en
Pages : 25

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Author: Torben Gustav Andersen
Publisher: Springer Science & Business Media
ISBN: 3540712976
Category : Business & Economics
Languages : en
Pages : 1045

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The Handbook of Financial Time Series gives an up-to-date overview of the field and covers all relevant topics both from a statistical and an econometrical point of view. There are many fine contributions, and a preamble by Nobel Prize winner Robert F. Engle.

Author: Chris Chatfield
Publisher: CRC Press
ISBN: 0203491688
Category : Mathematics
Languages : en
Pages : 349

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Book Description
Since 1975, The Analysis of Time Series: An Introduction has introduced legions of statistics students and researchers to the theory and practice of time series analysis. With each successive edition, bestselling author Chris Chatfield has honed and refined his presentation, updated the material to reflect advances in the field, and presented interesting new data sets. The sixth edition is no exception. It provides an accessible, comprehensive introduction to the theory and practice of time series analysis. The treatment covers a wide range of topics, including ARIMA probability models, forecasting methods, spectral analysis, linear systems, state-space models, and the Kalman filter. It also addresses nonlinear, multivariate, and long-memory models. The author has carefully updated each chapter, added new discussions, incorporated new datasets, and made those datasets available for download from www.crcpress.com. A free online appendix on time series analysis using R can be accessed at http://people.bath.ac.uk/mascc/TSA.usingR.doc. Highlights of the Sixth Edition: A new section on handling real data New discussion on prediction intervals A completely revised and restructured chapter on more advanced topics, with new material on the aggregation of time series, analyzing time series in finance, and discrete-valued time series A new chapter of examples and practical advice Thorough updates and revisions throughout the text that reflect recent developments and dramatic changes in computing practices over the last few years The analysis of time series can be a difficult topic, but as this book has demonstrated for two-and-a-half decades, it does not have to be daunting. The accessibility, polished presentation, and broad coverage of The Analysis of Time Series make it simply the best introduction to the subject available.

Author: Christian Francq
Publisher: John Wiley & Sons
ISBN: 1119957397
Category : Mathematics
Languages : en
Pages : 469

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This book provides a comprehensive and systematic approach to understanding GARCH time series models and their applications whilst presenting the most advanced results concerning the theory and practical aspects of GARCH. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation and tests. The book also provides coverage of several extensions such as asymmetric and multivariate models and looks at financial applications. Key features: Provides up-to-date coverage of the current research in the probability, statistics and econometric theory of GARCH models. Numerous illustrations and applications to real financial series are provided. Supporting website featuring R codes, Fortran programs and data sets. Presents a large collection of problems and exercises. This authoritative, state-of-the-art reference is ideal for graduate students, researchers and practitioners in business and finance seeking to broaden their skills of understanding of econometric time series models.

Author: Wujuan Lin
Publisher: Springer Science & Business Media
ISBN: 144199176X
Category : Computers
Languages : en
Pages : 178

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Book Description
N etwork-based computing domain unifies all best research efforts presented from single computer systems to networked systems to render overwhelming computational power for several modern day applications. Although this power is expected to grow with respect to time due to tech nological advancements, application requirements impose a continuous thrust on network utilization and on the resources to deliver supreme quality of service. Strictly speaking, network-based computing dornain has no confined scope and each element offers considerable challenges. Any modern day networked application strongly thrives on efficient data storage and management system, which is essentially a Database System. There have been nurnber of books-to-date in this domain that discuss fundamental principles of designing a database systern. Research in this dornain is now far matured and rnany researchers are venturing in this dornain continuously due to a wide variety of challenges posed. In this book, our dornain of interest is in exposing the underlying key challenges in designing algorithms to handle unpredictable requests that arrive at a Distributed Database System(DDBS) and evaluating their performance. These requests are otherwise called as on-line requests arriving at a system to process. Transactions in an on-line Banking service, Airline Reservation systern, Video-on-Demand systern, etc, are few examples of on-line requests.

Author: Joseph L. McCauley
Publisher: Cambridge University Press
ISBN: 0521763401
Category : Business & Economics
Languages : en
Pages : 219

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Book Description
Provides graduate students and practitioners in physics and economics with a better understanding of stochastic processes.

Author: Christian Hafner
Publisher: Springer Science & Business Media
ISBN: 3662126052
Category : Business & Economics
Languages : en
Pages : 235

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Book Description
The book deals with the econometric analysis of high frequency financial time series. It emphasizes a new nonparametric approach to volatility models and provides theoretical and empirical comparisons with conventional ARCH models, applied to foreign exchange rates. Nonparametric models are discussed that cope with asymmetry and long memory of volatility as well as heterogeneity of higher conditional moments.

Author: Stephen Satchell
Publisher: Elsevier
ISBN: 0080471420
Category : Business & Economics
Languages : en
Pages : 428

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Book Description
Forecasting Volatility in the Financial Markets, Third Edition assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up-to-date chapters on the latest techniques in forecasting volatility. Chapters new to this third edition:* What good is a volatility model? Engle and Patton* Applications for portfolio variety Dan diBartolomeo* A comparison of the properties of realized variance for the FTSE 100 and FTSE 250 equity indices Rob Cornish* Volatility modeling and forecasting in finance Xiao and Aydemir* An investigation of the relative performance of GARCH models versus simple rules in forecasting volatility Thomas A. Silvey - Leading thinkers present newest research on volatility forecasting - International authors cover a broad array of subjects related to volatility forecasting - Assumes basic knowledge of volatility, financial mathematics, and modelling

Author: Patrice Bertail
Publisher: Springer Science & Business Media
ISBN: 038736062X
Category : Mathematics
Languages : en
Pages : 491

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Book Description
This book gives an account of recent developments in the field of probability and statistics for dependent data. It covers a wide range of topics from Markov chain theory and weak dependence with an emphasis on some recent developments on dynamical systems, to strong dependence in times series and random fields. There is a section on statistical estimation problems and specific applications. The book is written as a succession of papers by field specialists, alternating general surveys, mostly at a level accessible to graduate students in probability and statistics, and more general research papers mainly suitable to researchers in the field.

Author: Georg Lindgren
Publisher: CRC Press
ISBN: 1466557796
Category : Mathematics
Languages : en
Pages : 378

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Book Description
Intended for a second course in stationary processes, Stationary Stochastic Processes: Theory and Applications presents the theory behind the field’s widely scattered applications in engineering and science. In addition, it reviews sample function properties and spectral representations for stationary processes and fields, including a portion on stationary point processes. Features Presents and illustrates the fundamental correlation and spectral methods for stochastic processes and random fields Explains how the basic theory is used in special applications like detection theory and signal processing, spatial statistics, and reliability Motivates mathematical theory from a statistical model-building viewpoint Introduces a selection of special topics, including extreme value theory, filter theory, long-range dependence, and point processes Provides more than 100 exercises with hints to solutions and selected full solutions This book covers key topics such as ergodicity, crossing problems, and extremes, and opens the doors to a selection of special topics, like extreme value theory, filter theory, long-range dependence, and point processes, and includes many exercises and examples to illustrate the theory. Precise in mathematical details without being pedantic, Stationary Stochastic Processes: Theory and Applications is for the student with some experience with stochastic processes and a desire for deeper understanding without getting bogged down in abstract mathematics.