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Statistical Inference for Financial Engineering

  • Masanobu Taniguchi
  • Tomoyuki Amano
  • Hiroaki Ogata
  • Hiroyuki Taniai
Book
  • 8.1k Downloads

Part of the SpringerBriefs in Statistics book series (BRIEFSSTATIST)

Table of contents

  1. Front Matter
    Pages i-x
  2. Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai
    Pages 1-39
  3. Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai
    Pages 41-64
  4. Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai
    Pages 65-83
  5. Masanobu Taniguchi, Tomoyuki Amano, Hiroaki Ogata, Hiroyuki Taniai
    Pages 85-116
  6. Back Matter
    Pages 117-118

About this book

Introduction

​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.

Keywords

62P05, 91G70 LAN-based optimal inference for time series empirical likelihood financial time series non-linear / non-Gaussian models rank-based semiparametric inference

Authors and affiliations

  • Masanobu Taniguchi
    • 1
  • Tomoyuki Amano
    • 2
  • Hiroaki Ogata
    • 3
  • Hiroyuki Taniai
    • 4
  1. 1.Dept. of Applied MathematicsWaseda UniversityTokyoJapan
  2. 2.Faculty of EconomicsWakayama UniversityWakayama-cityJapan
  3. 3.School of Business Administration, Faculty of Urban Liberal Arts, Tokyo Metropolitan University.TokyoJapan
  4. 4.School of Int. Liberal StudiesWaseda UniversityTokyoJapan

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