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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| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
London ; New York :
Routledge
2003.
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| Edición: | 1st ed |
| Colección: | Routledge international studies in money and banking ;
24. |
| Materias: | |
| Ver en Biblioteca Universitat Ramon Llull: | https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009634709106719 |
| Sumario: | 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 |
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| Notas: | Description based upon print version of record. |
| Descripción Física: | 1 online resource (493 p.) |
| Bibliografía: | Includes bibliographical references and index. |
| ISBN: | 9781134469314 9780429242229 9781134469321 9781280347986 9786610347988 9780203987636 |
