Financial Econometrics

1. Verfasser: Tse, Yiu-Kuen , [VerfasserIn]
Umfang/Format: 1 online resource (136 pages).
ISBN: books978-3-03921-627-7
9783039216260
9783039216277
Schlagworte:
tuning parameter choice
Markov process
model averaging
n/a
steady state distributions
realized volatility
threshold
risk prices
threshold auto-regression
bond risk premia
linear programming estimator
volatility forecasting
Bayesian inference
asset price bubbles
stationarity
deviance information criterion
model selection
probability integral transform
forecast comparisons
Markov-Chain Monte Carlo
explosive regimes
multivariate nonlinear time series
Tukey's power transformation
affine term structure models
Mallows criterion
nonlinear nonnegative autoregression
TVAR models
stochastic conditional duration
shrinkage
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Zugang: Open Access
Benutzungs- und Reproduktionsbedingungen: Creative Commons
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