Investment in a financial market is aimed at getting higher benefits; this complex market is
influenced by a large number of events wherein the prediction of future market dynamics is …

Almost a century ago, Lévy (1925) first explored stable distributions in his study of sums of
random terms. The basic mathematical facts about stable laws were described in the …

Quantile regression constitutes a family of statistical techniques intended to estimate and
draw inferences about conditional quantile functions. Median regression as introduced in …

Fractional calculus is a rapidly growing field of research, at the interface between probability,
differential equations, and mathematical physics. It is used to model anomalous diffusion, in …

A new edition of this popular text on robust statistics, thoroughly updated to include new and
improved methods and focus on implementation of methodology using the increasingly …

This paper proposes the cross-quantilogram to measure the quantile dependence between
two time series. We apply it to test the hypothesis that one time series has no directional …

The benchmark theory of mathematical finance is the Black–Scholes–Merton theory, based
on Brownian motion as the driving noise process for asset prices. Here the distributions of …

Amongmanyexcitingdevelopmentsinstatistic…, nonlineartimeseriesanddata-
analyticnonparametricmethodshavegreatly advanced along seemingly unrelated paths. In …

This book offers an in-depth and up-to-date review of different statistical tools that can be
used to analyze and forecast the dynamics of two crucial for every energy company …

Fully revised and restructured, Measuring Market Risk, Second Edition includes a new
chapter on options risk management, as well as substantial new information on parametric …