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Financial Econometrics

dc.contributor.authorTse, Yiu-Kuen*
dc.date.accessioned2021-02-11T13:42:15Z
dc.date.available2021-02-11T13:42:15Z
dc.date.issued2019*
dc.date.submitted2019-12-09 11:49:15*
dc.identifier42578*
dc.identifier.urihttps://directory.doabooks.org/handle/20.500.12854/47666
dc.description.abstractFinancial 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.*
dc.languageEnglish*
dc.subjectHB1-3840*
dc.subject.classificationbic Book Industry Communication::K Economics, finance, business & managementen_US
dc.subject.othertuning parameter choice*
dc.subject.otherMarkov process*
dc.subject.othermodel averaging*
dc.subject.othern/a*
dc.subject.othersteady state distributions*
dc.subject.otherrealized volatility*
dc.subject.otherthreshold*
dc.subject.otherrisk prices*
dc.subject.otherthreshold auto-regression*
dc.subject.otherbond risk premia*
dc.subject.otherlinear programming estimator*
dc.subject.othervolatility forecasting*
dc.subject.otherBayesian inference*
dc.subject.otherasset price bubbles*
dc.subject.otherstationarity*
dc.subject.otherdeviance information criterion*
dc.subject.othermodel selection*
dc.subject.otherprobability integral transform*
dc.subject.otherforecast comparisons*
dc.subject.otherMarkov-Chain Monte Carlo*
dc.subject.otherexplosive regimes*
dc.subject.othermultivariate nonlinear time series*
dc.subject.otherTukey’s power transformation*
dc.subject.otheraffine term structure models*
dc.subject.otherMallows criterion*
dc.subject.othernonlinear nonnegative autoregression*
dc.subject.otherTVAR models*
dc.subject.otherstochastic conditional duration*
dc.subject.othershrinkage*
dc.titleFinancial Econometrics*
dc.typebook
oapen.identifier.doi10.3390/books978-3-03921-627-7*
oapen.relation.isPublishedBy46cabcaa-dd94-4bfe-87b4-55023c1b36d0*
oapen.relation.isbn9783039216260*
oapen.relation.isbn9783039216277*
oapen.pages136*
oapen.edition1st*


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