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Paper / 2011SMQ / 210173664792580
Is a probabilistic modeling really useful in financial engineering?
Cédric Join / Frédéric Hatt / Michel Fliess
time seriesResource overview

Is a probabilistic modeling really useful in financial engineering?

Paper2011

by Cédric Join, Frédéric Hatt, Michel Fliess

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time series

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Suggested foundations for financial time series. Specialist prerequisites vary by paper.

Before you read

  1. Stationarity and Unit Roots

    Check whether a relationship can be estimated consistently over time.

  2. Linear Regression

    Read the fitted relationship and its residuals.

Go further

  1. Cointegration and Error Correction

    Study long-run relationships without confusing them with correlation.

  2. Regression Assumptions and Diagnostics

    Check the assumptions behind reported estimates.

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