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Indexation and Causation of Financial Markets

Bag om Indexation and Causation of Financial Markets

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.

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  • Sprog:
  • Engelsk
  • ISBN:
  • 9784431552758
  • Indbinding:
  • Paperback
  • Sideantal:
  • 103
  • Udgivet:
  • 7. januar 2016
  • Udgave:
  • 12015
  • Størrelse:
  • 162x239x9 mm.
  • Vægt:
  • 198 g.
  • 8-11 hverdage.
  • 7. december 2024
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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.

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