Springer-Statistical Tools for Finance and Insurance by Pavel Cizek, Wolfgang Karl Härdle, Rafal Weron

By Pavel Cizek, Wolfgang Karl Härdle, Rafal Weron

This ebook offers ready-to-use recommendations, theoretical advancements and technique development for plenty of useful difficulties in quantitative finance and coverage. It deals a special blend of themes that might gain each industry analyst and probability manager.

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P. (1997). Numerical Calculation of Stable Densities and Distribution Functions, Communications in Statistics – Stochastic Models 13: 759–774. Press, S. J. (1972). Estimation in Univariate and Multivariate Stable Distribution, Journal of the American Statistical Association 67: 842–846. Rachev, S. and Mittnik, S. (2000). Stable Paretian Models in Finance, Wiley. Samorodnitsky, G. and Taqqu, M. S. (1994). Stable Non–Gaussian Random Processes, Chapman & Hall. Stephens, M. A. (1974). EDF Statistics for Goodness of Fit and Some Comparisons, Journal of the American Statistical Association 69: 730–737.

Levy, P. (1925). Calcul des Probabilites, Gauthier Villars. 32 Bibliography Mandelbrot, B. B. (1997). Fractals and Scaling in Finance, Springer. McCulloch, J. H. (1986). Simple Consistent Estimators of Stable Distribution Parameters, Communications in Statistics – Simulations 15: 1109–1136. McCulloch, J. H. (1996). Financial Applications of Stable Distributions, in G. S. Maddala, C. R. ), Handbook of Statistics, Vol. 14, Elsevier, pp. 393–425. McCulloch, J. H. (1997). Measuring Tail Thickness to Estimate the Stable Index α: A Critique, Journal of Business & Economic statistics 15: 74– 81.

And Mikosch, T. (1997). Modelling Extremal Events for Insurance and Finance, Springer. Fofack, H. and Nolan, J. P. (1999). Tail Behavior, Modes and Other Characteristics of Stable Distributions, Extremes 2 (1999): 39–58. , and M¨ uller, M. (2000). Springer. XploRe Learning Guide, Hill, B. M. (1975). A Simple General Approach to Inference About the Tail of a Distribution, Annals of Statistics 3: 1163–1174. Janicki, A. and Weron, A. (1994). Simulation and Chaotic Behavior of α-Stable Stochastic Processes, Marcel Dekker.

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