Financial Econometrics
Abstract
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.
Keywords
tuning parameter choice; Markov process; model averaging; n/a; steady state distributions; realized volatility; threshold; risk prices; threshold auto-regression; bond risk premia; linear programming estimator; volatility forecasting; Bayesian inference; asset price bubbles; stationarity; deviance information criterion; model selection; probability integral transform; forecast comparisons; Markov-Chain Monte Carlo; explosive regimes; multivariate nonlinear time series; Tukey’s power transformation; affine term structure models; Mallows criterion; nonlinear nonnegative autoregression; TVAR models; stochastic conditional duration; shrinkageISBN
9783039216260, 9783039216277Publisher website
www.mdpi.com/booksPublication date and place
2019Classification
Economics, finance, business & management
Pages
136
Except where otherwise noted, this item's license is described
as
https://creativecommons.org/licenses/by-nc-nd/4.0/