Financial Econometrics

Herausgeber: Shi, Shuping; Zeng, Tao; Wang, Xiaohu

• Gebundenes Buch

Produktbeschreibung

Financial Econometrics is a contribution to modern financial econometrics, overviewing both theory and application. It covers, in detail, three important topics in the field that have recently drawn the attention of the academic community and practitioners, with low-frequency data (trend determination, bubble detection, and factor-augmented regressions) and examines various topics in high-frequency financial econometrics with continuous time models and discretized data. Also included are the estimation of stochastic volatility models, posterior-based hypothesis testing, and posterior-based model selection. Exploring topics at the forefront of research in the field of financial econometrics, this book offers an accessible introduction to the research and provides the groundwork for the development of new econometric techniques.

Produktdetails

• Verlag: Cambridge University Press
• Seitenzahl: 394
• Erscheinungstermin: 27. Januar 2025
• Englisch
• Abmessung: 235mm x 157mm x 28mm
• Gewicht: 788g
• ISBN-13: 9781108843294
• ISBN-10: 1108843298
• Artikelnr.: 70554492

Inhaltsangabe

Part I. Trend Determination, Asset Price Bubbles, and Factor-Augmented
Regressions: 1. Asymptotics of Polynomial Time Trend Estimation and
Hypothesis Testing under Rank Deficiency Peter C. B. Pillips; 2.
Econometric Analysis of Asset Price Bubbles Shuping Shi and Peter C. B.
Pillips; 3. Factor-Augmented Regressions and their Applications to
Financial Markets: A Selective Review Yonghui Zhang; Part II.
Continuous-Time Models and High-Frequency Financial Econometrics: 4. Finite
Sample Theory in Continuous-Time Models Xiaohu Wang; 5. In-fill Asymptotic
Theory and Applications in Financial Econometrics Yiu Lim Lui; 6.
Econometric Analysis of Nonstationary Continuous-Time Models Ye Chen; 7.
Fractional Brownian Motions in Financial Econometrics Weilin Xiao and Xili
Zhang; 8. Estimation of Integrated Covariance Matrix Using High Frequency
Data with Applications in Portfolio Choice Cheng Liu; Part III. Bayesian
Estimation and Inferences: 9. Methods for Estimating Discrete-Time
Stochastic Volatility Models Xiaobin Liu; 10. Hypothesis Testing Statistics
Based on Posterior Output with Applications in Financial Econometrics Yong
Li; 11. Posterior-Based Specification Testing and Model Selection Tao Zeng.