Financial surveillance [electronic resource] / edited by Marianne Frisén

Published:: Chichester, England ; Hoboken, NJ : John Wiley & Sons, [2008]
Copyright Date:: ©2008
Physical Description:: 262 pages : illustrations ; 23 cm.
Additional Creators:: Frisén, Marianne and Wiley InterScience (Online service)

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Series:

Statistics in practice

Contents:

Introduction to financial surveillance / Marianne Frisén -- Statistical models in finance / Helgi Tómasson -- The relation between statistical surveillance and technical analysis in finance / David Bock, Eva Andersson, Marianne Frisén -- Evaluations of likelihood-based surveillance of volatility / David Bock -- Surveillance of univariate and multivariate linear time series / Yarema Okhrin and Wolfgang Schmid -- Surveillance of univariate and multivariate nonlinear time series / Yarema Okhrin and Wolfgang Schmid -- Sequential monitoring of optimal portfolio weights / Vasyl Golosnoy, Wolfgang Schmid and Iryna Okhrin -- Likelihood-based surveillance for continuous-time processes / Helgi Tómasson -- Conclusions and future directions / Marianne Frisén.

Subject(s):

ISBN:

9780470987179
0470987170

Note:

AVAILABLE ONLINE TO AUTHORIZED PSU USERS.

Bibliography Note:

Includes bibliographical references (pages [239]-256) and index.

Reproduction Note:

Electronic reproduction. Hoboken, N.J. : Wiley InterScience, 2008. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on Mar. 27, 2008). Access may be restricted to users at subscribing institutions.

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