Financial Econometrics

• Hoofdauteur: Tse, Yiu-Kuen (auth)
• Formaat: Elektronisch Hoofdstuk
• Taal: Engels
• Gepubliceerd in: MDPI - Multidisciplinary Digital Publishing Institute 2019
• Onderwerpen: 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; shrinkage
• Online toegang: DOAB: download the publication; DOAB: description of the publication

Samenvatting

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.

Fysieke beschrijving

1 electronic resource (136 p.)

ISBN

books978-3-03921-627-7
9783039216260
9783039216277

Toegang

Open Access