SpringerBriefs in Statistics

Statistical Inference for Financial Engineering

Authors: Taniguchi, M., Amano, T., Ogata, H., Taniai, H.

  • Prepares readers for analyzing the specific feature of financial data
  • Provides powerful statistical tools (e.g. the LAN-based approach, empirical likelihood, control variates, quantile regression, etc.)
  • Reflects the latest developments (e.g., stable distributions, market microstructure etc.)
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eBook $39.99
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  • ISBN 978-3-319-03497-3
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  • Immediate eBook download after purchase
Softcover $54.99
price for USA
  • ISBN 978-3-319-03496-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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About this book

​This monograph provides the fundamentals of statistical inference for financial engineering and covers some selected methods suitable for analyzing financial time series data. In order to describe the actual financial data, various stochastic processes, e.g. non-Gaussian linear processes, non-linear processes, long-memory processes, locally stationary processes etc. are introduced and their optimal estimation is considered as well. This book also includes several statistical approaches, e.g., discriminant analysis, the empirical likelihood method, control variate method, quantile regression, realized volatility etc., which have been recently developed and are considered to be powerful tools for analyzing the financial data, establishing a new bridge between time series and financial engineering.

This book is well suited as a professional reference book on finance, statistics and statistical financial engineering. Readers are expected to have an undergraduate-level knowledge of statistics.

About the authors

Dr. Masanobu Taniguchi is a professor at Waseda University. His work focuses on time series, general asymptotic theory and econometrics and he is a fellow of the Institute of Mathematical Statistics (USA).

Dr. Tomoyuki Amano received his PhD from Waseda University, Japan and is now an associate professor at the Faculty of Economics, Wakayama University, Japan. His research interests are in financial time series and function estimators for time series.

Dr. Hiroaki Ogata is an assistant professor at the School of International Liberal Studies, Waseda University. He is currently researching empirical likelihood estimation methods in time series analysis, as well as in stable distributions.

Dr. Hiroyuki Taniai completed his PhD at Université Libre de Bruxelles and is now a research associate at the School of International Liberal Studies, Waseda University. His research interests include semiparametric inference, quantile regression and their applications in finance.

Table of contents (4 chapters)

  • Features of Financial Data

    Taniguchi, Masanobu (et al.)

    Pages 1-39

  • Empirical Likelihood Approaches for Financial Returns

    Taniguchi, Masanobu (et al.)

    Pages 41-64

  • Various Methods for Financial Engineering

    Taniguchi, Masanobu (et al.)

    Pages 65-83

  • Some Techniques for ARCH Financial Time Series

    Taniguchi, Masanobu (et al.)

    Pages 85-116

Buy this book

eBook $39.99
price for USA (gross)
  • ISBN 978-3-319-03497-3
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $54.99
price for USA
  • ISBN 978-3-319-03496-6
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Rent the ebook  
  • Rental duration: 1 or 6 month
  • low-cost access
  • online reader with highlighting and note-making option
  • can be used across all devices
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Bibliographic Information

Bibliographic Information
Book Title
Statistical Inference for Financial Engineering
Authors
Series Title
SpringerBriefs in Statistics
Copyright
2014
Publisher
Springer International Publishing
Copyright Holder
The Author(s)
eBook ISBN
978-3-319-03497-3
DOI
10.1007/978-3-319-03497-3
Softcover ISBN
978-3-319-03496-6
Series ISSN
2191-544X
Edition Number
1
Number of Pages
X, 118
Number of Illustrations and Tables
9 b/w illustrations, 6 illustrations in colour
Topics