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Financial Econometrics: Themes in Modern Econometrics

Editat de Shuping Shi, Tao Zeng, Xiaohu Wang
en Limba Engleză Paperback – 12 noi 2026
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.
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Specificații

ISBN-13: 9781108824224
ISBN-10: 1108824226
Pagini: 394
Editura: Cambridge University Press
Colecția Themes in Modern Econometrics
Seria Themes in Modern Econometrics


Cuprins

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.

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This book serves as a graduate textbook and an essential reference for financial econometrics courses at the graduate level. It complements the book Financial Econometrics: Models and Methods (Cambridge University Press, 2019), the Handbook of Financial Econometrics (2009), and the Handbook of Financial Time Series (2009).