Financial Econometrics

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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Wedi'i Gadw mewn:
Manylion Llyfryddiaeth
:
Tse, Yiu-Kuen
Blwyddyn Gyhoeddi:2019
Iaith:English
Disgrifiad Corfforoll:1 electronic resource (136 p.)
Tagiau: Ychwanegu Tag
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ctrlnum (CKB)4100000010106185
(oapen)https://directory.doabooks.org/handle/20.500.12854/47666
(EXLCZ)994100000010106185
collection bib_alma
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spelling Tse, Yiu-Kuen auth
Financial Econometrics
MDPI - Multidisciplinary Digital Publishing Institute 2019
1 electronic resource (136 p.)
text txt rdacontent
computer c rdamedia
online resource cr rdacarrier
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.
English
tuning parameter choice
Markov process
model averaging
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
shrinkage
3-03921-626-0
language English
format eBook
author Tse, Yiu-Kuen
spellingShingle Tse, Yiu-Kuen
Financial Econometrics
author_facet Tse, Yiu-Kuen
author_variant y k t ykt
author_sort Tse, Yiu-Kuen
title Financial Econometrics
title_full Financial Econometrics
title_fullStr Financial Econometrics
title_full_unstemmed Financial Econometrics
title_auth Financial Econometrics
title_new Financial Econometrics
title_sort financial econometrics
publisher MDPI - Multidisciplinary Digital Publishing Institute
publishDate 2019
physical 1 electronic resource (136 p.)
isbn 3-03921-627-9
3-03921-626-0
illustrated Not Illustrated
work_keys_str_mv AT tseyiukuen financialeconometrics
status_str n
ids_txt_mv (CKB)4100000010106185
(oapen)https://directory.doabooks.org/handle/20.500.12854/47666
(EXLCZ)994100000010106185
carrierType_str_mv cr
is_hierarchy_title Financial Econometrics
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