{"product_id":"financial-econometrics-theory-and-applications-hardback-9781108843294","title":"Financial Econometrics; Theory and Applications (Hardback) 9781108843294","description":"\u003cfont face=\"Georgia\"\u003e\r\n\u003cp\u003e\u003cfont size=\"6\"\u003eFinancial Econometrics\u003c\/font\u003e\u003cbr\u003e\r\n\u003cfont size=\"5\"\u003eTheory and Applications\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cem\u003eThis book covers a set of topics that are at the forefront of research in the field of financial econometrics.\u003c\/em\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003cp\u003e\u003cfont size=\"4\"\u003eShuping Shi (Edited by), Xiaohu Wang (Edited by), Tao Zeng (Edited by)\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e9781108843294, Cambridge University Press\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eHardback, published 27 February 2025\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003e394 pages\u003cbr\u003e23.5 x 15.9 x 3.1 cm, 0.73 kg\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\r\n\r\n\r\n\u003cp align=\"justify\"\u003e\u003cstrong\u003e\u003cfont size=\"3\"\u003eFinancial 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.\u003c\/font\u003e\u003c\/strong\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003ePart 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\u003cbr\u003e 2. Econometric Analysis of Asset Price Bubbles Shuping Shi and Peter C. B. Pillips\u003cbr\u003e 3. Factor-Augmented Regressions and their Applications to Financial Markets: A Selective Review Yonghui Zhang\u003cbr\u003e Part II. Continuous-Time Models and High-Frequency Financial Econometrics: 4. Finite Sample Theory in Continuous-Time Models Xiaohu Wang\u003cbr\u003e 5. In-fill Asymptotic Theory and Applications in Financial Econometrics Yiu Lim Lui\u003cbr\u003e 6. Econometric Analysis of Nonstationary Continuous-Time Models Ye Chen\u003cbr\u003e 7. Fractional Brownian Motions in Financial Econometrics Weilin Xiao and Xili Zhang\u003cbr\u003e 8. Estimation of Integrated Covariance Matrix Using High Frequency Data with Applications in Portfolio Choice Cheng Liu\u003cbr\u003e Part III. Bayesian Estimation and Inferences: 9. Methods for Estimating Discrete-Time Stochastic Volatility Models Xiaobin Liu\u003cbr\u003e 10. Hypothesis Testing Statistics Based on Posterior Output with Applications in Financial Econometrics Yong Li\u003cbr\u003e 11. Posterior-Based Specification Testing and Model Selection Tao Zeng.\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\u003cp\u003e\u003cfont size=\"3\"\u003eSubject Areas: Econometrics [\u003ca title=\"See our other books on Econometrics\" href=\"https:\/\/freshlyprintedbooks.co.uk\/search?q=%22Econometrics%20%5BKCH%5D%22\"\u003eKCH\u003c\/a\u003e]\u003c\/font\u003e\u003c\/p\u003e\r\n\r\n\r\n\u003c\/font\u003e","brand":"Cambridge University Press","offers":[{"title":"Brand New","offer_id":52417738866968,"sku":"9781108843294","price":81.29,"currency_code":"GBP","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0730\/2037\/5320\/files\/9781108843294i.jpg?v=1784505711","url":"https:\/\/freshlyprintedbooks.co.uk\/products\/financial-econometrics-theory-and-applications-hardback-9781108843294","provider":"Freshly Printed Books","version":"1.0","type":"link"}