Financial Market Risk
Measurement and Analysis| By: | Cornelis Los |
| Publisher: | Taylor & Francis |
| Print ISBN: | 9780415771139 |
| eText ISBN: | 9781134469314 |
| Edition: | 1 |
| Copyright: | 2003 |
| Format: | Reflowable |
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This new book uses advanced signal processing technology to measure and analyze risk phenomena of the financial markets. It explains how to scientifically measure, analyze and manage non-stationarity and long-term time dependence (long memory) of financial market returns. It studies, in particular, financial crises in persistent financial markets,