Optimal Statistical Inference in Financial Engineering

DOI10.1201/9781420011036zbMath1152.62074OpenAlexW4230688839MaRDI QIDQ5431291

Kenichiro Tamaki, Junichi Hirukawa, Masanobu Taniguchi

Publication date: 7 December 2007

Full work available at URL: https://doi.org/10.1201/9781420011036

zbMATH Keywords

discriminant analysisstochastic processesergodicitymartingalemixingsemiparametric estimationspectral analysislong memory processestime series analysisnonstationary processesregressionterm structurecredit ratingnonparametric estimationnonparametric clusteringoption pricing theoryprediction of time seriesdiscount bondsestimation of portfoliosestimation of time series modelsestimation procedures for term structureshigher order asymptotic option valuation for non-Gaussian dependent returnslocal Whittle likelihood approachparametric clustering for financial time seriesspot ratesVaR problems

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Nonparametric estimation (62G05) Inference from stochastic processes and spectral analysis (62M15) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (4)

Discriminant analysis by quantile regression with application on the climate change problem ⋮ Higher‐order asymptotics of minimax estimators for time series ⋮ Modified LASSO estimators for time series regression models with dependent disturbances ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate

Uses Software

• S-PLUS

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