Statistical Description of Markets

Olivier Le Courtois and Christian Walter ()

Chapter 3 in Extreme Financial Risks and Asset Allocation, 2014, pp 31-51 from World Scientific Publishing Co. Pte. Ltd.

Abstract: The statistical description of markets is a prerequisite to any probabilist construction and to any financial computation of risk budgets or portfolio allocations. After an overview of the representations of financial data, this chapter recalls the basic notions that are applied in the construction of tests, using the example of normality tests…

Keywords: Lévy Process; Extreme Risks; Risk Management; Portfolio Management; Asset Allocation (search for similar items in EconPapers)
Date: 2014
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