Statistical analysis of multivariate data arises in many empirical studies in finance and econometrics. A classical example, considered in Chapter 3, is the implementation and statistical analysis of Markowitz’s optimal portfolio theory based on historical data, which are multivariate, on the mean levels and the covariance matrix of different assets that are used to form the portfolios. Another important example, studied in Chapter 10, involves multivariate data of bond yields over different maturities.
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© 2008 Springer Science+Business Media, LLC
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(2008). Multivariate Analysis and Likelihood Inference. In: Statistical Models and Methods for Financial Markets. Springer Texts in Statistics. Springer, New York, NY. https://doi.org/10.1007/978-0-387-77827-3_2
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DOI: https://doi.org/10.1007/978-0-387-77827-3_2
Publisher Name: Springer, New York, NY
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