Financial Econometrics
Theory and Applications
Tao Zeng editor Xiaohu Wang editor Shuping Shi editor
Format:Hardback
Publisher:Cambridge University Press
Publishing:31st Mar '25
£100.00
This title is due to be published on 31st March, and will be despatched as soon as possible.
This book covers a set of topics that are at the forefront of research in the field of financial econometrics.
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).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.
ISBN: 9781108843294
Dimensions: unknown
Weight: unknown
275 pages