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,...
| Autor principal: | |
|---|---|
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
London ; New York :
Routledge
2003.
|
| 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 |
Tabla de Contenidos:
- Book Cover; Title; Copyright; Contents; Preface; Introduction; 1 Risk asset class horizon and time; 2 Competing financial market hypotheses; 3 Stable scaling distributions in finance; 4 Persistence of financial risk; 5 Frequency analysis of financial risk; 6 Fourier time frequency analysis of risk; 7 Wavelet time scale analysis of risk; 8 Multiresolution analysis of local risk; 9 Chaos nonunique equilibria processes; 10 Measuring term structure dynamics; 11 Simulation of financial turbulence; 12 Managing VaR and extreme values; Appendix A original scaling in financial economics
- Appendix B S P500 daily closing prices for 1988Index
