TY  - BOOK
AU  - Chan,Wai-Sum
AU  - Li,Wai Keung
AU  - Tong,Howell
TI  - 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 
SN  - 9781848160156
AV  - HG176 .P763 2000
PY  - 2000///
CY  - London
PB  - Imperial College Press
KW  - Finance
KW  - Statistical methods
KW  - Congresses
KW  - Time-series analysis
KW  - Electronic Books
N1  - 1; 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; 2; b
N2  - 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
UR  - https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&db=nlabk&AN=532558&site=eds-live&custid=s3260518
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