Statistics of Financial Markets An Introduction
Statistics of Financial Markets offers a vivid yet concise introduction to the growing field of statistical applications in finance. The reader will learn the basic methods to evaluate option contracts, to analyse financial time series, to select portfoli
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tatistics of Financial Markets An Introduction
Second Edition
123
Professor Dr. Jürgen Franke University of Kaiserslautern P.O. Box 3049 67653 Kaiserslautern Germany [email protected]
Professor Dr. Christian M. Hafner Université catholique de Louvain Institut de statistique Voie du Roman Pays, 20 1348 Louvain-la-Neuve Belgium [email protected]
Professor Dr. Wolfgang K. Härdle Humboldt-Universität zu Berlin CASE-Center for Applied Statistics and Economics Spandauer Straße 1 10178 Berlin Germany [email protected]
front cover figure: The photo on the cover of the bull and bear in front of the Frankfurt Stock Exchange was taken by Professor Wolfgang Härdle
ISBN 978-3-540-76269-0
e-ISBN 978-3-540-76272-0
DOI 10.1007/978-3-540-76272-0 Library of Congress Control Number: 2007942157 Mathematics Subject Classification (2000): 62M10, 62P05, 91B28, 91B84 © 2008 Springer-Verlag Berlin Heidelberg This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Production: LE-TEX Jelonek, Schmidt & Vöckler GbR Cover-design: WMX Design GmbH, Heidelberg Printed on acid-free paper 987654321 springer.com
Figure 0.1: Notes of a student for the exam of a course based on this book.
Figure 0.2: Notes of a student for the exam of a course based on this book.
Figure 0.3: Notes of a student for the exam of a course based on this book.
Figure 0.4: Notes of a student for the exam of a course based on this book.
Figure 0.5: Notes of a student for the exam of a course based on this book.
Preface to the Second Edition After the success of the first edition we felt obliged to catch up with the rapidly growing literature in financial statistics and econometrics. This second edition expands on material that was only briefly covered in the previous edition. As an example, Chapter 17 on copula is an extensive update of the literature and describes some of our own research in this area. In the chapter on time series with stochastic volatility (Chapter 13), we present a critique of standard stationary GARCH modelling and describe an alternative nonparametric way of modelling based on the idea of a time-varying unconditional variance, and hence a non-stationary process. This new view of volatility modelling seems to provide promising
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