Financial Econometrics
Buch in deiner Nähe kaufen
Beschreibung
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.
Autor*in
Yiu-Kuen Tse
Themen in »Financial Econometrics«
asset price bubbles explosive regimes multivariate nonlinear time series steady state distributions TVAR models bond risk premia affine term structure models risk prices stochastic conditional duration threshold Bayesian inference Markov-Chain Monte Carlo probability integral transform deviance information criterion Mallows criterion