Financial Econometrics
Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Publisher: [Erscheinungsort nicht ermittelbar] : MDPI - Multidisciplinary Digital Publishing Institute, 2019Description: 1 Online-Ressource (136 p.)ISBN:- 9783039216260
- 9783039216277
- 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
Open Access. Unrestricted online access star
Creative Commons https://creativecommons.org/licenses/by-nc-nd/4.0 cc
English