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Financial Surveillance

Marianne Frisen (Editor)
ISBN: 978-0-470-06188-6
Hardcover
272 pages
February 2008
List Price: US $157.00
Government Price: US $90.20
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Financial Surveillance (047006188X) cover image

List of Contributors .

1. Introduction to financial surveillance (Marianne Frisén).

2. Statistical models in finance (Helgi Tómasson).

3. The relation between statistical surveillance and technical analysis.

in finance (David Bock, Eva Andersson and Marianne Frisén).

4. Evaluations of likelihood-based surveillance of volatility (David Bock).

5. Surveillance of univariate and multivariate linear time series (Y. Okhrin and W.Schmid).

6. Surveillance of univariate and multivariate nonlinear time series (Y. Okhrin and W. Schmid).

7. Sequential monitoring of optimal portfolio weights (Vasyl. Golosnoy, Wolfgang Schmid and Iryna. Okhrin).

8. Likelihood-based surveillance for continuous-time processes (Helgi T?omasson).

9 Conclusions and future directions (Marianne Frisén).

Bibliography. 

Index.

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