Statistics in finance
Article first published online: 15 APR 2011
Copyright © 2011 John Wiley & Sons, Inc.
Wiley Interdisciplinary Reviews: Computational Statistics
Volume 3, Issue 4, pages 289–315, July/August 2011
How to Cite
Tsay, R. S. (2011), Statistics in finance. WIREs Comp Stat, 3: 289–315. doi: 10.1002/wics.168
- Issue published online: 3 JUN 2011
- Article first published online: 15 APR 2011
- Markov chain simulation;
- risk management;
- value at risk
This article considers Markov chain simulation and statistical analysis of high-dimensional financial time series. In particular, we discuss Markov chain Monte Carlo methods, for example, Gibbs sampling and Metropolis-Hasting algorithm, and multivariate volatility models with applications in finance. Real examples are used to demonstrate statistical applications of the methods discussed in risk management and volatility estimation. WIREs Comp Stat 2011 3 289–315 DOI: 10.1002/wics.168
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