Financial Econometrics
Financial Econometrics
Xiaohu Wang, Fudan University, Shanghai
Tao Zeng, Zhejiang University, China
£100.00
GBPFinancial 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.
- Covers topics that are at the forefront of research in the field of financial econometrics
- Provides groundwork for the development of new econometric techniques
- Provides an accessible introduction that makes topics accessible to a broad range of audience
Product details
February 2025Hardback
9781108843294
394 pages
229 × 152 mm
Not yet published - available from February 2025
Table of Contents
- 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.
