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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| Materyal Türü: | Online |
| Dil: | İngilizce |
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MDPI - Multidisciplinary Digital Publishing Institute
2021
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| Konular: | |
| Online Erişim: | 42578 |
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| _version_ | 1863739126364241920 |
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| author | Tse, Yiu-Kuen |
| author_browse | Tse, Yiu-Kuen |
| author_facet | Tse, Yiu-Kuen |
| author_sort | Tse, Yiu-Kuen |
| collection | Directory of Open Access Books |
| description | 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. |
| format | Online |
| id | doab-20.500.12854ir-47666 |
| institution | Directory of Open Access Books |
| language | eng |
| publishDate | 2021 |
| publishDateRange | 2021 |
| publishDateSort | 2021 |
| publisher | MDPI - Multidisciplinary Digital Publishing Institute |
| publisherStr | MDPI - Multidisciplinary Digital Publishing Institute |
| record_format | ojs |
| spelling | doab-20.500.12854ir-476662023-12-20T15:53:55Z Financial Econometrics Tse, Yiu-Kuen 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 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. 2021-02-11T13:42:15Z 2021-02-11T13:42:15Z 2019-12-09 11:49:15 2019 book 42578 9783039216260 9783039216277 https://directory.doabooks.org/handle/20.500.12854/47666 eng application/octet-stream Attribution-NonCommercial-NoDerivatives 4.0 International https://mdpi.com/books/pdfview/book/1701 MDPI - Multidisciplinary Digital Publishing Institute 10.3390/books978-3-03921-627-7 10.3390/books978-3-03921-627-7 46cabcaa-dd94-4bfe-87b4-55023c1b36d0 9783039216260 9783039216277 136 open access |
| spellingShingle | 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 Tse, Yiu-Kuen Financial Econometrics |
| title | Financial Econometrics |
| title_full | Financial Econometrics |
| title_fullStr | Financial Econometrics |
| title_full_unstemmed | Financial Econometrics |
| title_short | Financial Econometrics |
| title_sort | financial econometrics |
| topic | 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 |
| topic_facet | 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 |
| url | 42578 |
| work_keys_str_mv | AT tseyiukuen financialeconometrics |