Financial Econometrics (Hardcover) (ISBN-13: 9781108843294)

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.

Author: Shuping Shi
ISBN-10: 1108843298
ISBN-13: 9781108843294
Publisher: Cambridge University Press
Language: English
Published: 02/27/2025
Pages: 394
Format: Hardcover
Weight: 1.53lbs
Size: 9.00h x 6.00w x 1.00d