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 and Howell Tong.

Contributor(s):

Material type: Text

TextPublication details: London : Imperial College Press ; (c)2000.; River Edge, NJ : Distributed by World Scientific Pub., (c)2000.Description: 1 online resource (x, 384 pages) : illustrationsContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9781848160156

Subject(s):

Genre/Form:

Electronic Books.

LOC classification:

HG176 .P763 2000

Online resources:

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Available additional physical forms:

Contents:

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 -- part 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 -- part 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 -- part 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 -- part 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.

Subject: 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.

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Holdings
Item type	Current library	Collection	Call number	URL	Status	Date due	Barcode
Online Book (LOGIN USING YOUR MY CIU LOGIN AND PASSWORD)	G. Allen Fleece Library ONLINE	Non-fiction	HG176.5 (Browse shelf(Opens below))	Link to resource	Available		ocn833089093

Includes bibliographical references.

part 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 -- part 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 -- part 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 -- part 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 -- part 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.

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