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MDPI - Multidisciplinary Digital Publishing Institute
Publication Date:
2022-01-31
Description:
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.
Keywords:
HB1-3840
;
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
Language:
English
Format:
application/octet-stream
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