Financial Econometrics: Theory and Applications

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Shuping Shi (Macquarie University, Sydney) Xiaohu Wang (Fudan University, Shanghai)

Financial Econometrics

Theory and Applications

Shuping Shi (Macquarie University, Sydney), Xiaohu Wang (Fudan University, Shanghai), Tao Zeng (Zhejiang University, China)

$192.95

Hardback

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English

Cambridge University Press
27 February 2025

Econometrics

Series: 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.

Edited by: Shuping Shi (Macquarie University Sydney), Xiaohu Wang (Fudan University, Shanghai), Tao Zeng (Zhejiang University, China)
Imprint: Cambridge University Press
Country of Publication: United Kingdom
ISBN: 9781108843294
ISBN 10: 1108843298
Series: Themes in Modern Econometrics
Pages: 394
Publication Date: 27 February 2025
Audience: General/trade , ELT Advanced
Format: Hardback
Publisher's Status: Active

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. 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. 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.

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Financial Econometrics

Theory and Applications

Shuping Shi (Macquarie University, Sydney), Xiaohu Wang (Fudan University, Shanghai), Tao Zeng (Zhejiang University, China)

$192.95

Hardback

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