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Financial Modeling Under Non-Gaussian

Financial Modeling Under Non-Gaussian

Financial Modeling Under Non-Gaussian Distributions. Eric Jondeau, Michael Rockinger, Ser-Huang Poon

Financial Modeling Under Non-Gaussian Distributions


Financial.Modeling.Under.Non.Gaussian.Distributions.pdf
ISBN: 1846284198,9781846284199 | 548 pages | 14 Mb


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Financial Modeling Under Non-Gaussian Distributions Eric Jondeau, Michael Rockinger, Ser-Huang Poon
Publisher: Springer




AirelonTrading says: August 25, 2011 at 4:39 am. As financial returns have non-Gaussian distributions with heavy tails, therefore PCA and FA are not suitable for modelling multivariate financial data, as both these second-order approaches are based on the assumption of Gaussianity [17]. Some of these characteristics tend to be overlooked in ENSO studies, such as its asymmetry (the number and amplitude of warm and cold events are not equal) and the deviation of its statistics from those of the Gaussian distribution. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. Financial Modeling Under Non-Gaussian Distributions Series: Springer Finance Jondeau, Eric, Poon, Ser-Huang, Rockinger, Michael 2007, XVIII, 542 p. @heckler73 There is Nonlinear Modelling of High Frequency Financial Time Series as well as other books on Financial modeling under non-Gaussian distributions. Eric Jondeau, Ser-Huang Poon, Michael Rockinger More information. Eric Jondeau, Ser-Huang Poon, Michael Rockinger (Springer Finance ) Financial Modeling Under Non-Gaussian Distributions [1st Edition . No hassle with Excel sheets, no financial modelling . Financial Modeling Under Non-Gaussian Distributions Practitioners and researchers who have handled financial market data know that asset returns do not behave according to the bell-shaped curve, associated with the. 129 illus., Hardcover ISBN: 978-1-84628-419-9.

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