Proceedings of the Hong Kong International Workshop on Statistics and Finance : an interface : Centre of Financial Time Series, the University of Hong Kong, 4-8 July 1999
- editors Wai-Sun Chan, Wai Keung Li & Howell Tong.
- London : Imperial College Press ; River Edge, NJ : Distributed by World Scientific Pub., ©2000.
- Physical description
- 1 online resource (x, 384 pages) : illustrations
- Includes bibliographical references.
- pt. I. Time series methodology. Heavy-tailed and non-linear continuous-time ARMA models for financial time series / P.J. Brockwell
- Nonlinear state space model approach to financial time series with time-varying variance / G. Kitagawa and S. Sato
- Nonparametric estimation and bootstrap for financial time series / J.-P. Kreif[symbol]
- Comparison of two discretization methods for estimating continuous-time autoregressive models / H. Tsai and K.S. Chan
- A note on kernel estimation in integrated time series / Y.-C. Xia, W.K. Li and H. Tong
- pt. II. Long memory and value at risk. Stylized facts on the temporal and distributional properties of absolute returns: an update / C.W.J. Granger, S. Spear and Z.-X. Ding
- Volatility computed by time series operators at high frequency / U.A. Müller
- Missing values in ARFIMA models / W. Palma
- Second order tail effects / C.G. de Vries
- pt. III. Volatility. Recent developments in heteroskedastic time series / N.H. Chan and G. Petris
- Bayesian estimation of stochastic volatility model via scale mixtures distributions / S.T.B. Choy and C.M. Chan
- On a smooth transition double threshold model / Y.N. Lee and W.K. Li
- Testing GARCH versus E-GARCH / S. Ling and M. McAleer
- pt. IV. Forecasting. Interval prediction of financial time series / B. Cheng and H. Tong
- A decision theoretic approach to forecast evaluation / C.W.J. Granger and M.H. Pesaran
- Learning and forecasting with stochastic neural networks / T.L. Lai and S.P.-S. Wong
- pt. V. Applications. The overreacting behavior of real exchange rate dynamics / Y.-W. Cheung and K.S. Lai
- Portfolio management and market risk quantification using neural networks / J. Franke
- Optimal asset allocation under GARCH model / W.C. Hui, H. Yang and K.C. Yuen
- Statistical modelling of the J-curve effect in trade balance: a case study / W.C. Ip [and others]
- Ruin theory with interest incomes / H. Yang and L. Zhang
- Detecting structural changes using genetic programming with an application to the greater-China stock markets / X.B. Zhang, Y.K. Tse and W.S. Chan.
- This volume constitutes the proceedings of the Hong Kong International Workshop on Statistics in Finance, held at the University of Hong Kong in July 1999. Topics covered include heavy-tailed and nonlinear continuous-time ARMA models for financial time series, and forecast evaluation.
- Publication date
- 9781848160156 (electronic bk.)
- 1848160151 (electronic bk.)