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