Indexation and causation of financial markets : nonstationary time series analysis method /: nonstationary time series analysis method. (2015)

• Record Type: Book
• Further Information: Note: Yoko Tanokura, Genshiro Kitagawa.
• Authors: Tanokura, Yoko; Kitagawa, G (Genshiro), 1948-
• Contents: 1 Introduction (1.1 Indexation of Financial Markets -- 1.2 Causation of Financial Markets -- 1.3 Nonstationarity of Financial Time Series -- 1.4 State-Space Modeling -- 1.5 Organization of the Book and Related Web Information -- References) -- 2 Method for Constructing a Distribution-Free Index (2.1 Nonstationary Time Series Modeling -- 2.2 Transformation of Non-Gaussian Distributed Prices of a Financial Market -- 2.3 Construction of a Distribution-Free Index -- References) -- 3 Power Contribution Analysis of a Multivariate Feedback System (3.1 Akaike's Power Contribution and its Generalization -- 3.2 Algorithm for Decomposing a Variance Covariance Matrix -- 3.3 Example of Power Contribution Analysis -- References) -- 4 Application to Financial and Economic Time Series Data (4.1 Detecting Crisis Spillovers in Terms of Sovereign CDS Distribution-Free Indices -- 4.2 Measuring the Impact of the US Subprime Crisis on Japanese Financial Markets -- 4.3 Other Applications: Usability of the Distribution-Free Index) -- References.
• Publisher Details: Tokyo : Springer
• Publication Date: 2015
• Extent: 1 online resource (x, 103 pages), illustrations (some color)
• Subjects: 519.5; Time-series analysis; Capital market -- Statistical methods; Price indexes; MATHEMATICS -- Applied; MATHEMATICS -- Probability & Statistics -- General; Capital market -- Statistical methods; Price indexes; Time-series analysis; Electronic books
• Languages: English
• ISBNs: 9784431552765; 4431552766
• Related ISBNs: 9784431552758; 4431552758
• Notes: Note: Includes bibliographical references and index.; Note: Online resource; title from PDF title page (SpringerLink, viewed January 11, 2016).
• Access Rights: Legal Deposit; Only available on premises controlled by the deposit library and to one user at any one time; The Legal Deposit Libraries (Non-Print Works) Regulations (UK).
• Access Usage: Restricted: Printing from this resource is governed by The Legal Deposit Libraries (Non-Print Works) Regulations (UK) and UK copyright law currently in force.