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Financial Econometrics de Shuping Shi

Financial Econometrics

Editat de Shuping Shi, Xiaohu Wang, Tao Zeng
en Limba Engleză Hardback – 27 ian 2025
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).
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Specificații

ISBN-13: 9781108843294
ISBN-10: 1108843298
Pagini: 394
Dimensiuni: 157 x 235 x 28 mm
Greutate: 0.69 kg
Editura: Cambridge University Press

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.