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Statistical Description of Markets

In: Extreme Financial Risks and Asset Allocation

Author

Listed:
  • Olivier Le Courtois
  • Christian Walter

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…

Suggested Citation

  • Olivier Le Courtois & Christian Walter, 2014. "Statistical Description of Markets," World Scientific Book Chapters, in: Extreme Financial Risks and Asset Allocation, chapter 3, pages 31-51, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9781783263097_0003
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