Indexation and Causation of Financial Markets (SpringerBriefs in Statistics)

by Genshiro Kitagawa (Author), YokoTanokura (Author)

• New

  Paperback
  2016

  $59.29

  � 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. This book first develops an index construction method depending on the price distributions, by using nonstationary time series analysis.