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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Year of Publication: | 2019 |
Language: | English |
Physical Description: | 1 electronic resource (136 p.) |
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245 | 1 | 0 | |a Financial Econometrics |
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520 | |a 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. | ||
546 | |a English | ||
653 | |a tuning parameter choice | ||
653 | |a Markov process | ||
653 | |a model averaging | ||
653 | |a steady state distributions | ||
653 | |a realized volatility | ||
653 | |a threshold | ||
653 | |a risk prices | ||
653 | |a threshold auto-regression | ||
653 | |a bond risk premia | ||
653 | |a linear programming estimator | ||
653 | |a volatility forecasting | ||
653 | |a Bayesian inference | ||
653 | |a asset price bubbles | ||
653 | |a stationarity | ||
653 | |a deviance information criterion | ||
653 | |a model selection | ||
653 | |a probability integral transform | ||
653 | |a forecast comparisons | ||
653 | |a Markov-Chain Monte Carlo | ||
653 | |a explosive regimes | ||
653 | |a multivariate nonlinear time series | ||
653 | |a Tukey's power transformation | ||
653 | |a affine term structure models | ||
653 | |a Mallows criterion | ||
653 | |a nonlinear nonnegative autoregression | ||
653 | |a TVAR models | ||
653 | |a stochastic conditional duration | ||
653 | |a shrinkage | ||
776 | |z 3-03921-626-0 | ||
906 | |a BOOK | ||
ADM | |b 2023-12-15 05:55:33 Europe/Vienna |f system |c marc21 |a 2020-02-01 22:26:53 Europe/Vienna |g false | ||
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