EAN: 9784431552758

SPRINGERBRIEFS IN STATISTICS INDEXATION AND C...

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 using nonstationary time series
analysis. Firstly  the long-term trend of the distributions of the optimal Box-Cox transformed
prices is estimated by fitting a trend model with time-varying observation noises. By applying
state space modeling  the estimation is performed and missing observations are automatically
interpolated. Finally  the index is defined by taking the inverse Box-Cox transformation of the
optimal long-term trend. This book applies the method to various financial data. For example 
applying it to the sovereign credit default swap market where the number of observations varies
over time due to the immaturity  the spillover effects of the financial crisis are detected by
using the power contribution analysis measuring the information flows between indices. The
investigations show that applying this method to the markets with insufficient information such
as fast-growing or immature markets can be effective.

Aktuelle Preise zur EAN 9784431552758

Produktinformationen zur 9784431552758