Financial Econometrics

Erscheinungsjahr 2025
ISBN: 978-1-108-84329-4
Verlag: Cambridge University Press

Buch, Englisch, 275 Seiten, Format (B × H): 157 mm x 235 mm, Gewicht: 788 g

Reihe: Themes in Modern Econometrics

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.

Autoren/Hrsg.

Shi, Shuping

Wang, Xiaohu

Zeng, Tao

Fachgebiete

• Wirtschaftswissenschaften Volkswirtschaftslehre Volkswirtschaftslehre Allgemein Ökonometrie

Inhaltsverzeichnis

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.

Über Autor(innen)

Shi, Shuping
Shuping Shi is a Professor at Macquarie University. She received the Discovery Early Career Researcher Award from the Australian Research Council (2019–2021) and the 2022 Young Economist Award from the Economic Society of Australia. She has published in the Journal of Econometrics, Management Science, International Economic Review, Econometric Theory, Journal of Financial Econometrics, and Journal of Banking and Finance. Shi and her team developed The International Housing Observatory and the Housing Fever Lab for Australia and New Zealand markets.

Zeng, Tao
Tao Zeng is an associate professor at the School of Economics and Academy of Financial Research, Zhejiang University. His research areas including Bayesian econometrics, empirical asset pricing, and machine learning. His works appear in the Journal of Econometrics, Journal of Financial Econometrics, Advances in Econometrics and more.

Wang, Xiaohu
Xiaohu Wang is an associate professor at the School of Economics, Fudan University. His research is on financial econometrics and empirical asset pricing. His works appear in the Journal of Econometrics, Econometrics Journal, Journal of International Money and Finance, Econometric Reviews, Advances in Econometrics, Quantitative Finance, and Economics Letters.