Indexation and Causation of Financial Markets
This book presents a new statistical method of constructing a price index of a financial asset where the price distributions are skewed and heavy-tailed and investigates the effectiveness of the method. In order to fully reflect the movements of prices or returns on a financial asset, the index shou...
| Main Authors: | , |
|---|---|
| Corporate Author: | |
| Language: | English |
| Published: |
Tokyo :
Springer Japan : Imprint: Springer,
2015.
|
| Edition: | 1st ed. 2015. |
| Series: | JSS Research Series in Statistics,
|
| Subjects: | |
| Online Access: | https://doi.org/10.1007/978-4-431-55276-5 |
Table of Contents:
- 1 Introduction (1.1 Indexation of Financial Markets
- 1.2 Causation of Financial Markets
- 1.3 Nonstationarity of Financial Time Series
- 1.4 State-Space Modeling
- 1.5 Organization of the Book and Related Web Information
- References)
- 2 Method for Constructing a Distribution-Free Index (2.1 Nonstationary Time Series Modeling
- 2.2 Transformation of Non-Gaussian Distributed Prices of a Financial Market
- 2.3 Construction of a Distribution-Free Index
- References)
- 3 Power Contribution Analysis of a Multivariate Feedback System (3.1 Akaike’s Power Contribution and its Generalization
- 3.2 Algorithm for Decomposing a Variance Covariance Matrix
- 3.3 Example of Power Contribution Analysis
- References)
- 4 Application to Financial and Economic Time Series Data (4.1 Detecting Crisis Spillovers in Terms of Sovereign CDS Distribution-Free Indices
- 4.2 Measuring the Impact of the US Subprime Crisis on Japanese Financial Markets
- 4.3 Other Applications: Usability of the Distribution-Free Index)
- References.