Statistical dynamical models of multivariate financial time series

<p>The last few years have witnessed an exponential increase in the availability and use of financial market data, which is sampled at increasingly high frequencies. Extracting useful information about the dependency structure of a system from these multivariate data streams has numerous pract...

Full description

Bibliographic Details
Main Author: Shah, N
Other Authors: Roberts, SJ
Format: Thesis
Language:English
Published: 2013
Subjects: