Financial Econometrics by Shuping Shi

Financial Econometrics by Shuping Shi

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.

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.

SKU	Unavailable
ISBN 13	9781108843294
ISBN 10	1108843298
Title	Financial Econometrics
Author	Shuping Shi
Series	Themes In Modern Econometrics
Condition	Unavailable
Binding Type	Hardback
Publisher	Cambridge University Press
Year published	2025-02-27
Number of pages	275
Cover note	Book picture is for illustrative purposes only, actual binding, cover or edition may vary.