Indexation and Causation of Financial Markets

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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 should reflect their distributions. However, they are often heavy-tailed and possibly skewed, and identifying them directly is not easy. This book first develops an index construction method depending on the price distributions, by ...

Indexation and Causation of Financial Markets 2016, Springer Verlag, Japan, Tokyo

ISBN-13: 9784431552758