Details
- Autor(en) / Beteiligte
- Titel
- Financial Econometrics
- Ort / Verlag
- MDPI
- Erscheinungsjahr
- 2019
- Quelle
- Alma/SFX Local Collection
- Beschreibungen/Notizen
- 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.
- Sprache
- Englisch
- Identifikatoren
- ISBN: 9783039216277, 3039216279, 9783039216260, 3039216260DOI: 10.3390/books978-3-03921-627-7Titel-ID: cdi_oapen_doabooks_47666
- Format
- –
- Schlagworte
- affine term structure models, asset price bubbles, Bayesian inference, bond risk premia, deviance information criterion, explosive regimes, forecast comparisons, linear programming estimator, Mallows criterion, Markov process, Markov-Chain Monte Carlo, model averaging, model selection, multivariate nonlinear time series, n/a, nonlinear nonnegative autoregression, probability integral transform, realized volatility, risk prices, shrinkage, stationarity, steady state distributions, stochastic conditional duration, threshold, threshold auto-regression, Tukey’s power transformation, tuning parameter choice, TVAR models, volatility forecasting