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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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Autor principal: Tse, Yiu-Kuen
Formato: Online
Idioma:inglês
Publicado em: MDPI - Multidisciplinary Digital Publishing Institute 2021
Assuntos:
HB1-3840
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
bic Book Industry Communication::K Economics, finance, business & management
Acesso em linha:42578
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