"The book develops a new practical method for constructing an index of prices of a financial asset for which the distributions are skewed and heavy-tailed. ... The book is valuable and concise reading for professionals in the area of finance and financial econometrics." (Pavel Stoynov, zbMATH 1338.91009, 2016)

• 1 Introduction (1.1 Indexation of Financial Markets.-  1.2 Causation of Financial Markets.- 1.3 Nonstationarity of Financial Time Series.- 1.4 State-Space Modeling.- 1.5 Organization of the Book and Related Web Information.- References) .-  2 Method for Constructing a Distribution-Free Index (2.1 Nonstationary Time Series Modeling.- 2.2 Transformation of Non-Gaussian Distributed Prices of a Financial Market.- 2.3 Construction of a Distribution-Free Index.- References) .-  3 Power Contribution Analysis of a Multivariate Feedback System (3.1 Akaike’s Power Contribution and its Generalization.- 3.2 Algorithm for Decomposing a Variance Covariance Matrix.- 3.3 Example of Power Contribution Analysis .- References) .-  4 Application to Financial and Economic Time Series Data (4.1 Detecting Crisis Spillovers in Terms of Sovereign CDS Distribution-Free Indices.- 4.2 Measuring the Impact of the US Subprime Crisis on Japanese Financial Markets.- 4.3 Other Applications: Usability of the Distribution-Free Index) .-  References.

"The book develops a new practical method for constructing an index of prices of a financial asset for which the distributions are skewed and heavy-tailed. ... The book is valuable and concise reading for professionals in the area of finance and financial econometrics." (Pavel Stoynov, zbMATH 1338.91009, 2016)

• 1 Introduction (1.1 Indexation of Financial Markets.-  1.2 Causation of Financial Markets.- 1.3 Nonstationarity of Financial Time Series.- 1.4 State-Space Modeling.- 1.5 Organization of the Book and Related Web Information.- References) .-  2 Method for Constructing a Distribution-Free Index (2.1 Nonstationary Time Series Modeling.- 2.2 Transformation of Non-Gaussian Distributed Prices of a Financial Market.- 2.3 Construction of a Distribution-Free Index.- References) .-  3 Power Contribution Analysis of a Multivariate Feedback System (3.1 Akaike’s Power Contribution and its Generalization.- 3.2 Algorithm for Decomposing a Variance Covariance Matrix.- 3.3 Example of Power Contribution Analysis .- References) .-  4 Application to Financial and Economic Time Series Data (4.1 Detecting Crisis Spillovers in Terms of Sovereign CDS Distribution-Free Indices.- 4.2 Measuring the Impact of the US Subprime Crisis on Japanese Financial Markets.- 4.3 Other Applications: Usability of the Distribution-Free Index) .-  References.

"The book develops a new practical method for constructing an index of prices of a financial asset for which the distributions are skewed and heavy-tailed. ... The book is valuable and concise reading for professionals in the area of finance and financial econometrics." (Pavel Stoynov, zbMATH 1338.91009, 2016)

• 1 Introduction (1.1 Indexation of Financial Markets.-  1.2 Causation of Financial Markets.- 1.3 Nonstationarity of Financial Time Series.- 1.4 State-Space Modeling.- 1.5 Organization of the Book and Related Web Information.- References) .-  2 Method for Constructing a Distribution-Free Index (2.1 Nonstationary Time Series Modeling.- 2.2 Transformation of Non-Gaussian Distributed Prices of a Financial Market.- 2.3 Construction of a Distribution-Free Index.- References) .-  3 Power Contribution Analysis of a Multivariate Feedback System (3.1 Akaike’s Power Contribution and its Generalization.- 3.2 Algorithm for Decomposing a Variance Covariance Matrix.- 3.3 Example of Power Contribution Analysis .- References) .-  4 Application to Financial and Economic Time Series Data (4.1 Detecting Crisis Spillovers in Terms of Sovereign CDS Distribution-Free Indices.- 4.2 Measuring the Impact of the US Subprime Crisis on Japanese Financial Markets.- 4.3 Other Applications: Usability of the Distribution-Free Index) .-  References.