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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Detalles Bibliográficos
Otros Autores: Tse, Yiu-Kuen (auth)
Formato: Libro electrónico
Idioma:Inglés
Publicado: MDPI - Multidisciplinary Digital Publishing Institute 2019
Materias:
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
Ver en Biblioteca Universitat Ramon Llull:https://discovery.url.edu/permalink/34CSUC_URL/1im36ta/alma991009433792406719
Descripción
Sumario: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.
Descripción Física:1 electronic resource (136 p.)
ISBN:9783039216277

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