Financial market risk measurement and analysis

This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular,...

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Bibliographic Details
Main Author: Los, Cornelis Albertus, 1951- (-)
Format: eBook
Language:Inglés
Published: London ; New York : Routledge 2003.
Edition:1st ed
Series:Routledge international studies in money and banking ; 24.
Subjects:
See on Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009634709106719
Description
Summary:This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets, such as stock, bond and real estate market, and turbulence in antipersistent financial markets, such as anchor currency markets. It uses Windowed Fourier and Wavelet Multiresolution Analysis to measure the degrees of persistence of these complex mark
Item Description:Description based upon print version of record.
Physical Description:1 online resource (493 p.)
Bibliography:Includes bibliographical references and index.
ISBN:9781134469314
9780429242229
9781134469321
9781280347986
9786610347988
9780203987636