Financial Econometrics
Financial Econometrics
Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges for researchers that are different from classical macro-econometric and micro-econometric problems. This Special Issue is dedicated to research topics that are relevant for analyzing financial data. We have gathered six articles under this theme.
- University of Waterloo Canada
- University of Sydney Australia
- Lahore University of Management Sciences Pakistan
- University of Guelph Canada
- Singapore Management University Singapore
model selection, probability integral transform, steady state distributions, bic Book Industry Communication::K Economics, finance, business & management, Bayesian inference, forecast comparisons, explosive regimes, nonlinear nonnegative autoregression, deviance information criterion, TVAR models, HB1-3840, realized volatility, Markov-Chain Monte Carlo, threshold, linear programming estimator, Markov process, ddc:330, volatility forecasting, model averaging, threshold auto-regression, multivariate nonlinear time series, asset price bubbles, bond risk premia, Mallows criterion, tuning parameter choice, n/a, shrinkage, risk prices, stationarity, stochastic conditional duration, Tukey’s power transformation, affine term structure models
model selection, probability integral transform, steady state distributions, bic Book Industry Communication::K Economics, finance, business & management, Bayesian inference, forecast comparisons, explosive regimes, nonlinear nonnegative autoregression, deviance information criterion, TVAR models, HB1-3840, realized volatility, Markov-Chain Monte Carlo, threshold, linear programming estimator, Markov process, ddc:330, volatility forecasting, model averaging, threshold auto-regression, multivariate nonlinear time series, asset price bubbles, bond risk premia, Mallows criterion, tuning parameter choice, n/a, shrinkage, risk prices, stationarity, stochastic conditional duration, Tukey’s power transformation, affine term structure models
citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).0 popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.Average influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).Average impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.Average
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