Reprint
Financial Econometrics
Edited by
October 2019
136 pages
- ISBN978-3-03921-626-0 (Paperback)
- ISBN978-3-03921-627-7 (PDF)
This book is a reprint of the Special Issue Financial Econometrics that was published in
Business & Economics
Computer Science & Mathematics
Summary
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
- Paperback
License
© 2019 by the authors; CC BY-NC-ND license
Keywords
asset price bubbles; explosive regimes; multivariate nonlinear time series; steady state distributions; TVAR models; bond risk premia; affine term structure models; risk prices; stochastic conditional duration; threshold; Bayesian inference; Markov-Chain Monte Carlo; probability integral transform; deviance information criterion; Mallows criterion; model averaging; model selection; shrinkage; tuning parameter choice; threshold auto-regression; Markov process; stationarity; volatility forecasting; realized volatility; linear programming estimator; Tukey’s power transformation; nonlinear nonnegative autoregression; forecast comparisons; n/a