scientific article

Publication date: 26 August 2010

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

principal component analysis Markov chain Monte Carlo Kalman filter extreme value theory expected shortfall factor model value at risk financial time series analysis AR, MA, ARMA, ARCH, GARCH, EGARCH, CHARMA models Black-Scholes, jump diffusion, stochastic volatility models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Non-Markovian processes: estimation (62M09) Markov processes: estimation; hidden Markov models (62M05) Stochastic models in economics (91B70) Auctions, bargaining, bidding and selling, and other market models (91B26) Non-Markovian processes: hypothesis testing (62M07) Markov processes: hypothesis testing (62M02) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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FinTS