02445nam 2200625z- 450 991036775320332120231214133503.03-03921-627-9(CKB)4100000010106185(oapen)https://directory.doabooks.org/handle/20.500.12854/47666(EXLCZ)99410000001010618520202102d2019 |y 0engurmn|---annantxtrdacontentcrdamediacrrdacarrierFinancial EconometricsMDPI - Multidisciplinary Digital Publishing Institute20191 electronic resource (136 p.)3-03921-626-0 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.tuning parameter choiceMarkov processmodel averagingsteady state distributionsrealized volatilitythresholdrisk pricesthreshold auto-regressionbond risk premialinear programming estimatorvolatility forecastingBayesian inferenceasset price bubblesstationaritydeviance information criterionmodel selectionprobability integral transformforecast comparisonsMarkov-Chain Monte Carloexplosive regimesmultivariate nonlinear time seriesTukey's power transformationaffine term structure modelsMallows criterionnonlinear nonnegative autoregressionTVAR modelsstochastic conditional durationshrinkageTse Yiu-Kuenauth614560BOOK9910367753203321Financial Econometrics3037384UNINA