skip to main content
Idioma:
Primo Search
Clear Search Box
Search in: Busca Geral
Busca Avançada
Busca por Índices
Tipo de recurso Mostra resultados com: Mostra resultados com: Índice

Extreme value methods with applications to finance

Serguei Y. Novak

Boca Raton, FL CRC Press c2012

Localização: IME - Inst. Matemática e Estatística    (QA277.30 N935e )(Acessar)

  • Título:
    Extreme value methods with applications to finance
  • Autor: Serguei Y. Novak
  • Assuntos: Finance -- Mathematical models; Financial risk -- Mathematical models; Extreme value theory -- Mathematical models; INFERÊNCIA ESTATÍSTICA; DISTRIBUIÇÕES DE EXTREMOS; ESTATÍSTICA APLICADA; FINANÇAS
  • Notas: Includes bibliographical references and index
  • Descrição: apt. I Distribution of Extremes -- 1.Methods of Extreme Value Theory -- 1.1.Order Statistics -- 1.2."Blocks" and "Runs" Approaches -- 1.3.Method of Recurrent Inequalities -- 1.4.Proofs -- 2.Maximum of Partial Sums -- 2.1.Erdos-Renyi Maximum of Partial Sums -- 2.2.Basic Inequalities -- 2.3.Limit Theorems for MPS -- 2.4.Proofs -- 3.Extremes in Samples of Random Size -- 3.1.Maximum of a Random Number of r.v.s. -- 3.2.Number of Exceedances -- 3.3.Length of the Longest Head Run -- 3.4.Long Match Patterns -- 4.Poisson Approximation -- 4.1.Total Variation Distance -- 4.2.Method of a Common Probability Space -- 4.3.The Stein Method -- 4.4.Beyond Bernoulli -- 4.5.The Magic Factor -- 4.6.Proofs -- 5.Compound Poisson Approximation -- 5.1.Limit Theory -- 5.2.Accuracy of Compound Poisson Approximation -- 5.3.Proofs -- 6.Exceedances of Several Levels -- 6.1.CP Limit Theory -- 6.2.General Case -- 6.3.Accuracy of Approximation -- 6.4.Proofs -- 7.Processes of Exceedances -- 7.1.One-Level EPPE -- 7.2.Excess Process -- 7.3.Complete Convergence to CP Processes -- 7.4.Proofs -- 8.Beyond Compound Poisson -- 8.1.Excess Process -- 8.2.Complete Convergence -- 8.3.Proofs -- pt. II Statistics of Extremes -- 9.Inference on Heavy Tails -- 9.1.Heavy-Tailed Distribution -- 9.2.Estimation Methods -- 9.3.Tail Index Estimation -- 9.4.Estimation of Extreme Quantiles -- 9.5.Estimation of the Tail Probability -- 9.6.Proofs -- 10.Value-at-Risk -- 10.1.Value-at-Risk and Expected Shortfall -- 10.2.Traditional Methods of VaR Estimation -- 10.3.VaR and ES Estimation from Heavy-Tailed Data -- 10.4.VaR over Different Time Horizons -- 10.5.Technical Analysis of Financial Data -- 10.5.1.Technical versus Fundamental Analyses -- 10.5.2.Axioms of the Technical Analysis -- 10.5.3.Basic Elliot Waves -- 10.5.4.Moving Average -- 10.5.5.MACD -- 10.5.6.Breakout (Fractal) Signal -- 10.5.7.RSI -- 10.5.8.TA Tools for Dynamic Risk Measurement -- 11.Extremal Index --11.1.Preliminaries -- 11.2.Estimation of the Ex
  • Títulos relacionados: Série:Monographs on statistics and applied probability 122
  • Editor: Boca Raton, FL CRC Press
  • Data de criação/publicação: c2012
  • Formato: xxv, 373 p ill 24 cm.
  • Idioma: Inglês
Links
Voltar para lista de resultados

  • Realização: ABCD-USP USP   Logos de Redes Sociais: Freepik

Buscando em bases de dados remotas. Favor aguardar.