Financial Econometrics

• Autore: Tse Yiu-Kuen
• 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