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Financial Econometrics

Financial Econometrics

Hardcover

Series: Themes in Modern Econometrics

Economics

ISBN10: 1108843298
ISBN13: 9781108843294
Publisher: Cambridge University Press
Published: Feb 27 2025
Pages: 394
Weight: 1.53
Height: 1.00 Width: 6.00 Depth: 9.00
Language: English
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.

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Economics