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Autore: | Tse Yiu-Kuen |
Titolo: | Financial Econometrics |
Pubblicazione: | MDPI - Multidisciplinary Digital Publishing Institute, 2019 |
Descrizione fisica: | 1 electronic resource (136 p.) |
Soggetto non controllato: | tuning parameter choice |
Markov process | |
model averaging | |
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 | |
Sommario/riassunto: | 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. |
Titolo autorizzato: | Financial Econometrics |
ISBN: | 3-03921-627-9 |
Formato: | Materiale a stampa |
Livello bibliografico | Monografia |
Lingua di pubblicazione: | Inglese |
Record Nr.: | 9910367753203321 |
Lo trovi qui: | Univ. Federico II |
Opac: | Controlla la disponibilità qui |