Financial Econometrics
Material type:
ArticleLanguage: English Publication details: MDPI - Multidisciplinary Digital Publishing Institute 2019Description: 1 electronic resource (136 p.)ISBN: - books978-3-03921-627-7
- 9783039216260
- 9783039216277
- tuning parameter choice
- Markov process
- model averaging
- n/a
- 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
| Item type | Home library | Collection | Call number | Materials specified | Status | Date due | Barcode | |
|---|---|---|---|---|---|---|---|---|
Electronic-Books
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OPJGU Sonepat- Campus | E-Books Open Access | Available |
Open Access star Unrestricted online access
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.
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