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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Bibliographic Details
Main Author:	Tse, Yiu-Kuen
Format:	Online
Language:	English
Published:	MDPI - Multidisciplinary Digital Publishing Institute 2021
Subjects:	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
Online Access:	42578
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Financial Econometrics

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