Statistics and Finance : An Interface

by Chan, Wai-Sum; Li, Wai Keung; Tong, Howell

• ISBN13: 9781860942372
• ISBN10: 1860942377
• Format: Hardcover
• Copyright: 2000-09-01
• Publisher: WORLD SCIENTIFIC PUB CO INC

Summary

Proceedings of the Hong Kong International Workshop on Statistics and Finance: An Interface, held in Hong Kong, on July 4-8, 1999. Contents include long memory and value at risk, volatility, forecasting, applications, and more.

Table of Contents

Preface	v
Part I: Time Series Methodology
Heavy-tailed and Non-linear Continuous-Time ARMA Models for Financial Time Series	3	(20)
P.J. Brockwell
Nonlinear State Space Model Approach to Financial Time Series with Time-Varying Variance	23	(22)
G. Kitagawa
S. Sato
Nonparametric Estimation and Bootstrap for Financial Time Series	45	(23)
J.-P. Kreiβ
Comparison of Two Discretization Methods for Estimating Continuous-Time Autoregressive Models	68	(18)
H. Tsai
K.S. Chan
A Note on Kernel Estimation in Integrated Time Series	86	(11)
Y.-C. Xia
W. K. Li
H. Tong
Part II: Long Memory and Value at Risk
Stylized Facts on the Temporal and Distributional Properties of Absolute Returns: An Update	97	(24)
C.W.J. Granger
S. Spear
Z.-X. Ding
Volatility Computed by Time Series Operators at High Frequency	121	(20)
U.A. Muller
Missing Values in ARFIMA Models	141	(12)
W. Palma
Second Order Tail Effects	153	(16)
C.G. de Vries
Part III: Volatility
Recent Developments in Heteroskedastic Time Series	169	(16)
N.H. Chan
G. Petris
Bayesian Estimation of Stochastic Volatility Model via Scale Mixtures Distributions	185	(20)
S.T.B. Choy
C.M. Chan
On a Smooth Transition Double Threshold Model	205	(21)
Y.N. Lee
W.K. Li
Testing GARCH versus E-GARCH	226	(19)
S. Ling
M. McAleer
Part IV: Forecasting
Interval Prediction of Financial Time Series	245	(16)
B. Cheng
H. Tong
A Decision Theoretic Approach to Forecast Evaluation	261	(18)
C.W.J. Granger
M.H. Pesaran
Learning and Forecasting with Stochastic Neural Networks	279	(24)
T.L. Lai
S.P.-S. Wong
Part V: Applications
The Overreacting Behavior of Real Exchange Rate Dynamics	303	(16)
Y.-W. Cheung
K.S. Lai
Portfolio Management and Market Risk Quantification Using Neural Networks	319	(17)
J. Franke
Optimal Asset Allocation under GARCH Model	336	(11)
W.C. Hu
H. Yang
K.C. Yuen
Statistical Modelling of the J-Curve Effect in Trade Balance: A Case Study	347	(8)
W.C. Ip
H. Wong
Z.J. Xie
Y.L. Liu
Ruin Theory with Interest Incomes	355	(15)
H. Yang
L. Zhang
Detecting Structural Changes Using Genetic Programming with an Application to the Greater-China Stock Markets	370
X.B. Zhang
Y.K. Tse
W.S. Chan