Financial econometrics : theory and applications / edited by Shuping Shi, Xiaohu Wang, Tao Zeng.

Format:

Book

Contributor:

Shi, Shuping, editor.

Wang, Xiaohu, 1962- editor.

Zeng, Tao, editor.

Series:

Themes in modern econometrics.

Themes in modern econometrics

Language:

English

Subjects (All):

Finance--Econometric models.

Finance.

Physical Description:

1 online resource (xii, 380 pages) : digital, PDF file(s).

Edition:

First edition.

Place of Publication:

Cambridge : Cambridge University Press, 2025.

Summary:

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.

Contents:

Cover

Half-title page

Series page

Title page

Imprints page

Contents

Contributors

Foreword

Acknowledgments

Part I Trend Determination, Asset Price Bubbles, and Factor-Augmented Regressions

1 Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency

1.1 Introduction

1.2 Deterministic Trend Regression

1.3 Limit Theory

1.4 Wald Statistic Inference

1.5 Conclusion

1.6 Appendix

2 Econometric Analysis of Asset Price Bubbles

2.1 Introduction

2.2 Bubble Definitions

2.3 Bubble Identification

2.4 The PSY Explosive Root Test

2.5 The Multiplicity Issue

2.6 Empirical Application: S&amp

P 500 Stock Market

2.7 Conclusion

2.8 Appendix: IVX Estimation

3 Factor-Augmented Regressions and Their Applications to Financial Markets: A Selective Review

3.1 Introduction

3.2 Factor Models and Principal Component Analysis

3.3 FARs with Time Series Data

3.4 Nonlinear FARs

3.5 FAR with Panel Data

3.6 Two Applications of FAR in Finance

3.7 Concluding Remarks

Part II Continuous-Time Models and High-Frequency Financial Econometrics

4 Finite Sample Theory in Continuous-Time Models

4.1 Introduction

4.2 Applications in Term Structure Modeling

4.3 Estimation and Finite-Sample Bias

4.4 Bias-Correction Methods

4.5 Conclusion

5 Infill Asymptotic Theory and Applications in Financial Econometrics

5.1 Introduction

5.2 The AR Model

5.3 Structural Break Models

5.4 Conclusion

6 Econometric Analysis of Nonstationary Continuous-Time Models

6.1 Introduction

6.2 Overview

6.3 Univariate Continuous-Time Models

6.4 Multivariate Continuous-Time Models

6.5 Monte Carlo Studies

6.6 Empirical Illustrations

6.7 Conclusions

6.8 Appendix

7 Fractional Brownian Motions in Financial Econometrics.

7.1 Introduction

7.2 Fractional Brownian Motion and Related Stochastic Processes

7.3 Fractional Stochastic Volatility Models

7.4 Estimation Methods Based on Continuous-Time Observations

7.5 Estimation Method Based on Discrete-Time Observations

7.6 Conclusions

7.7 Appendix

8 Estimation of Integrated Covariance Matrix Using High-Frequency Data with Applications in Portfolio Choice

8.1 Introduction

8.2 The Integrated Covariance Matrix and Data

8.3 Estimations of the ICM

8.4 Applications in Portfolio Allocation

8.5 Discussion

Part III Bayesian Estimation and Inferences

9 Methods for Estimating Discrete-Time Stochastic Volatility Models

9.1 Introduction

9.2 The Basic Model

9.3 Methods in the Frequentist Domain

9.4 Methods in the Bayesian Domain

9.5 Conclusion

10 Hypothesis Testing Statistics Based on Posterior Output with Applications in Financial Econometrics

10.1 Introduction

10.2 Bayesian Inference Based on Posterior Distributions

10.3 Hypothesis Testing Based on Posterior Output

10.4 Bayesian Version of LR, LM, and Wald Test Statistics

10.5 Simulation Studies

10.6 Empirical Illustrations

10.7 Discussion and Future Research

11 Posterior-Based Specification Testing and Model Selection

11.1 Introduction

11.2 Posterior-Based Specification Tests

11.3 Posterior-Based Model Selection Criteria

11.4 Concluding Remarks

11.5 Appendix

Index.

Notes:

Title from publisher's bibliographic system (viewed on 20 Feb 2025).

ISBN:

9781108910927

1108910920

9781108910095

1108910092