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Indexation and Causation of Financial Markets
Yoko Tanokura
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Description for Indexation and Causation of Financial Markets
Paperback. Series: SpringerBriefs in Statistics. Num Pages: 90 pages, 25 black & white illustrations, 25 colour illustrations, 13 black & white tables, biograph. BIC Classification: KFF; PBT. Category: (P) Professional & Vocational. Dimension: 235 x 155. .
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. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis. Firstly, the long-term trend of the distributions of the optimal Box-Cox transformed prices ... Read more
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. In order to fully reflect the movements of prices or returns on a financial asset, the index should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis. Firstly, the long-term trend of the distributions of the optimal Box-Cox transformed prices ... Read more
Product Details
Publisher
Springer Verlag, Japan Japan
Number of pages
90
Format
Paperback
Publication date
2016
Series
SpringerBriefs in Statistics
Condition
New
Weight
197g
Number of Pages
103
Place of Publication
Tokyo, Japan
ISBN
9784431552758
SKU
V9784431552758
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Indexation and Causation of Financial Markets
The book develops a new practical method for constructing an index of prices of a financial asset for which the distributions are skewed and heavy-tailed. ... The book is valuable and concise reading for professionals in the area of finance and financial econometrics. (Pavel Stoynov, zbMATH 1338.91009, 2016)