Indexation and Causation of Financial Markets
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This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis.
| Autor: | Tanokura, Yoko; Kitagawa, Genshiro |
| Nakladatel: | Springer Verlag, Japan |
| ISBN: | 9784431552758 |
| Rok vydání: | 2016 |
| Jazyk : | Angličtina |
| Vazba: | Paperback |
| Počet stran: | 103 |
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