02774nam 22007333a 450 991036775320332120250203235434.09783039216277303921627910.3390/books978-3-03921-627-7(CKB)4100000010106185(oapen)https://directory.doabooks.org/handle/20.500.12854/47666(ScCtBLL)3f0c28c5-95c1-4d80-802d-05fe92f4336d(OCoLC)1163836783(oapen)doab47666(EXLCZ)99410000001010618520250203i20192019 uu engurmn|---annantxtrdacontentcrdamediacrrdacarrierFinancial EconometricsYiu-Kuen TseMDPI - Multidisciplinary Digital Publishing Institute2019Basel, Switzerland :MDPI,2019.1 electronic resource (136 p.)9783039216260 3039216260 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-Kuen614560ScCtBLLScCtBLLBOOK9910367753203321Financial Econometrics3037384UNINA