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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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Keywords
- 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
Links
DOI: 10.3390/books978-3-03921-627-7Editions
