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Unobserved Components and Time Series Econometrics
Presents original and up-to-date studies in unobserved components (UC) time series models from both theoretical and methodological perspectives.
Nonparametric Statistics
This volume presents the latest advances and trends in nonparametric statistics, and gathers selected and peer-reviewed contributions from the 3rd Conference of the International Society for Nonparametric Statistics (ISNPS), held in Avignon, France on June 11-16, 2016. It covers a broad range of nonparametric statistical methods, from density estimation, survey sampling, resampling methods, kernel methods and extreme values, to statistical learning and classification, both in the standard i.i.d. case and for dependent data, including big data. The International Society for Nonparametric Statistics is uniquely global, and its international conferences are intended to foster the exchange of ideas and the latest advances among researchers from around the world, in cooperation with established statistical societies such as the Institute of Mathematical Statistics, the Bernoulli Society and the International Statistical Institute. The 3rd ISNPS conference in Avignon attracted more than 400 researchers from around the globe, and contributed to the further development and dissemination of nonparametric statistics knowledge.
Dynamic Factor Models
This volume explores dynamic factor model specification, asymptotic and finite-sample behavior of parameter estimators, identification, frequentist and Bayesian estimation of the corresponding state space models, and applications.
Quantitative Equity Investing
A comprehensive look at the tools and techniques used in quantitative equity management Some books attempt to extend portfolio theory, but the real issue today relates to the practical implementation of the theory introduced by Harry Markowitz and others who followed. The purpose of this book is to close the implementation gap by presenting state-of-the art quantitative techniques and strategies for managing equity portfolios. Throughout these pages, Frank Fabozzi, Sergio Focardi, and Petter Kolm address the essential elements of this discipline, including financial model building, financial engineering, static and dynamic factor models, asset allocation, portfolio models, transaction costs,...
Financial Modeling of the Equity Market
An inside look at modern approaches to modeling equity portfolios Financial Modeling of the Equity Market is the most comprehensive, up-to-date guide to modeling equity portfolios. The book is intended for a wide range of quantitative analysts, practitioners, and students of finance. Without sacrificing mathematical rigor, it presents arguments in a concise and clear style with a wealth of real-world examples and practical simulations. This book presents all the major approaches to single-period return analysis, including modeling, estimation, and optimization issues. It covers both static and dynamic factor analysis, regime shifts, long-run modeling, and cointegration. Estimation issues, in...
Advances in Distribution Theory, Order Statistics, and Inference
The purpose of this book is to honor the fundamental contributions to many different areas of statistics made by Barry Arnold. Distinguished and active researchers highlight some of the recent developments in statistical distribution theory, order statistics and their properties, as well as inferential methods associated with them. Applications to survival analysis, reliability, quality control, and environmental problems are emphasized.
COMPSTAT 2008
18th Symposium Held in Porto, Portugal, 2008
