书名:Statistics of Financial Markets 二、Statistical Model of Financial Time Series: Introduction: Definitions and Concepts.- ARMA Time Series Models.- Time Series with Stochastic Volatility.- Nonparametric Concepts for Financial Time Series. 三、Selected Financial Applications: Valuing Options with Flexible Volatility Estimators.- Value-at-Risk and Backtesting.- Copulas and Value-at Risk.- Statistics of Extreme Risks.- Neural Networks.- Volatility Risk of Portfolios.- Nonparametric Estimators for the Probability of Defaulting. |