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Financial Econometrics

Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges for re...

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Bibliographic Details
Main Author: Tse, Yiu-Kuen
Format: eBook
Language:English
Published: MDPI - Multidisciplinary Digital Publishing Institute 2019
Subjects:
Stationarity
Stochastic Conditional Duration
Shrinkage
Explosive Regimes
Threshold Auto-regression
Nonlinear Nonnegative Autoregression
Tukey's Power Transformation
Forecast Comparisons
Volatility Forecasting
Linear Programming Estimator
N/a
Steady State Distributions
Probability Integral Transform
Bond Risk Premia
Asset Price Bubbles
Model Selection
Deviance Information Criterion
Threshold
Risk Prices
Multivariate Nonlinear Time Series
Mallows Criterion
Markov-chain Monte Carlo
Markov Process
Tvar Models
Affine Term Structure Models
Tuning Parameter Choice
Model Averaging
Realized Volatility
Bayesian Inference
Online Access:
Collection: Directory of Open Access Books - Collection details see MPG.ReNa
Description
Summary:Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges for researchers that are different from classical macro-econometric and micro-econometric problems. This Special Issue is dedicated to research topics that are relevant for analyzing financial data. We have gathered six articles under this theme.
Item Description:Creative Commons (cc), https://creativecommons.org/licenses/by-nc-nd/4.0/
Physical Description:1 electronic resource (136 p.)
ISBN:9783039216260
books978-3-03921-627-7
9783039216277

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