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Longer titles found: Journal of Financial Econometrics (view)

searching for Financial econometrics 42 found (69 total)

Peter Phillips (economist) (417 words) [view diff] case mismatch in snippet view article

University of Southampton. He is currently the co-director of Center for Financial Econometrics of Sim Kee Boon Institute for Financial Economics at Singapore Management

Autoregressive conditional duration (267 words) [view diff] exact match in snippet view article find links to article

In financial econometrics, an autoregressive conditional duration (ACD, Engle and Russell (1998)) model considers irregularly spaced and autocorrelated

Yingying Fan (485 words) [view diff] exact match in snippet view article find links to article

networks, and nonparametric methodology, particularly in the field of financial econometrics, and for conscientious professional service in 2020. She was also

Markov switching multifractal (1,572 words) [view diff] exact match in snippet view article find links to article

In financial econometrics (the application of statistical methods to economic data), the Markov-switching multifractal (MSM) is a model of asset returns

Francis X. Diebold (1,013 words) [view diff] case mismatch in snippet view article find links to article

University, and New York University. He was President of the Society for Financial Econometrics (2011–2013) and Chairman of the Federal Reserve System's inaugural

Stefan Mittnik (205 words) [view diff] case mismatch in snippet view article find links to article

Stefan Mittnik is a German economist, currently holds the Chair of Financial Econometrics at the Ludwig Maximilian University of Munich. He is a fellow of

Faculty of Political Sciences at Sakarya University (856 words) [view diff] case mismatch in snippet view article find links to article

Labor Economics and Industrial Relations, Public Finance, and Financial Econometrics. The SAU SBF has more than 80 full-time faculty and more than 40

John F. O. Bilson (379 words) [view diff] exact match in snippet view article find links to article

students at European universities to learn about current research in financial econometrics from top US faculty members. Bilson has presented various seminars

Yu-Chin Chen (738 words) [view diff] case mismatch in snippet view article find links to article

International Financial Monetary Economics, and Computational Finance and Financial Econometrics. Yu-Chin Chen earned her bachelor's degree in physics at Harvard

Robert F. Engle (858 words) [view diff] case mismatch in snippet view article find links to article

"Time-Varying Arrival Rates of Informed and Uninformed Traders". Journal of Financial Econometrics. 6 (2). (with Maureen O'Hara, David Easley and L. Wu): 171–207.

Frank J. Fabozzi (874 words) [view diff] exact match in snippet view article find links to article

numerous research papers covering topics in investment management and financial econometrics. Much of his earlier writing focused on fixed income securities

Jun Yu (415 words) [view diff] exact match in snippet view article find links to article

data. He has also co-authored Financial Econometric Modeling, a financial econometrics textbook published by Oxford University Press. He has an h-index

Andrew Lo (1,325 words) [view diff] case mismatch in snippet view article find links to article

Arts and Sciences, the Econometric Society, and the Society of Financial Econometrics. Adaptive Markets: Financial Evolution at the Speed of Thought.

Value at risk (5,759 words) [view diff] case mismatch in snippet view article find links to article

Prediction: A Comparison of Alternative Strategies". Journal of Financial Econometrics. 4: 53–89. doi:10.1093/jjfinec/nbj002. McKinsey & Company. "McKinsey

Sydney C. Ludvigson (869 words) [view diff] case mismatch in snippet view article find links to article

Econometrics. In 2017, she was nominated a Fellows of the Society for Financial Econometrics. In 2021, she was elected Fellow of the Econometric Society. Her

Dirk Eddelbuettel (552 words) [view diff] case mismatch in snippet view article find links to article

Institute of Technology in Germany. He received an M.A. and a PhD in Financial Econometrics from the School for Advanced Studies in the Social Sciences (EHESS)

Contiguity (probability theory) (1,038 words) [view diff] case mismatch in snippet view article

University Press; 1998. Werker, Bas (June 2005). "Advanced topics in Financial Econometrics" (PDF). Archived from the original (PDF) on 2006-04-30. Retrieved

Nicole El Karoui (823 words) [view diff] case mismatch in snippet view article find links to article

and Forward Prices, Proceedings of the Japanese Association of Financial Econometrics and Engineering, July 1993. Marc Champenois (2006-04-14). "Ordre

Neil Shephard (732 words) [view diff] case mismatch in snippet view article find links to article

with stochastic volatility and jumps (with discussion) Journal of Financial Econometrics, 2004, 2, 1–48. Ole E. Barndorff-Nielsen and Neil Shephard (2002)

Basic affine jump diffusion (411 words) [view diff] case mismatch in snippet view article find links to article

"Systematic and idiosyncratic default risk in synthetic credit markets" (PDF). Journal of Financial Econometrics. 10 (2): 292–324. doi:10.1093/jjfinec/nbr011.

Lancaster University Management School (1,547 words) [view diff] case mismatch in snippet view article find links to article

for Consumption Insights Centre for Family Business Centre for Financial Econometrics, Asset Markets and Macroeconomic Policy Centre for Health Futures

Christian Gouriéroux (597 words) [view diff] case mismatch in snippet view article find links to article

Quasi-maximum likelihood estimate and Indirect inference Books Financial Econometrics: Problems, Models, and Methods. Simulation-Based Econometric Methods

Alan Marcus (464 words) [view diff] case mismatch in snippet view article find links to article

Asset Allocation: A Case of Compounded Estimation Risk,” Journal of Financial Econometrics, 3 (2005), 37–55, with Eric Jacquier and Alex Kane. "The Boston

Fama–French three-factor model (1,591 words) [view diff] case mismatch in snippet view article find links to article

2006.00849.x. "Principal Components Analysis and Factor Analysis". Financial Econometrics. Hoboken, NJ, USA: John Wiley & Sons, Inc. 2015-08-29. pp. 429–464

Monika Piazzesi (721 words) [view diff] case mismatch in snippet view article find links to article

Piazzesi, Monika (2010). "Affine Term Structure Models". Handbook of Financial Econometrics: Tools and Techniques. pp. 691–766. doi:10.1016/B978-0-444-50897-3

Risk–return spectrum (1,505 words) [view diff] case mismatch in snippet view article find links to article

and modeling variation in the risk-return tradeoff." Handbook of Financial Econometrics 1 (2003): 617-690. Ghysels, Eric, Pedro Santa-Clara, and Rossen

Partial correlation (3,782 words) [view diff] case mismatch in snippet view article find links to article

A review and guide to covariance matrix estimation. Journal of Financial Econometrics, 20(1), 187-218. https://doi.org/10.1093/jjfinec/nbaa007 Wikiversity

Denise R. Osborn (2,504 words) [view diff] case mismatch in snippet view article find links to article

of Nottingham, since 2013. External Fellow, Centre for Macro and Financial Econometrics in University of Essex, since 2014. Member of the UK Government

International College of Economics and Finance (630 words) [view diff] exact match in snippet view article find links to article

including macroeconomics, economic theory, corporate finance, financial econometrics, industrial organization, labor economics, law and economics, experimental

Sakarya University (2,331 words) [view diff] case mismatch in snippet view article find links to article

Labor Economics and Industrial Relations, Public Finance, and Financial Econometrics. Faculty of Technical Education Faculty of Medicine Faculty of Arts

Anil K. Bera (5,140 words) [view diff] case mismatch in snippet view article find links to article

Teaching, 1991. Books Bera, Anil K., Ivliev, S. and Lillo, F. (2015) 'Financial Econometrics and Empirical Market Microstructure'. Springer International Publishing

Charles Goodhart (2,499 words) [view diff] exact match in snippet view article find links to article

Shephard around 1991, encourage the latter to work on problems in financial econometrics. Goodhart helped advise and publicly supported the Reserve Bank

Point process (4,595 words) [view diff] case mismatch in snippet view article find links to article

"Trades and Quotes: A Bivariate Point Process" (PDF). Journal of Financial Econometrics. 1 (2): 159–188. doi:10.1093/jjfinec/nbg011. Sung Nok Chiu; Dietrich

Expectations hypothesis (975 words) [view diff] case mismatch in snippet view article find links to article

rates one-for-one. Gourieroux, Christian; Jasiak, Joann (2001). Financial Econometrics: Problems, Models, and Methods. Princeton University Press. p. 164

Royal Economic Society (3,911 words) [view diff] exact match in snippet view article find links to article

international field journal for the publication of macro- micro, and financial econometrics. In 2011 the editors of The Econometrics Journal initiated the annual

Markov chain (12,900 words) [view diff] case mismatch in snippet view article find links to article

regime-switching and the estimation of multifractal processes". Journal of Financial Econometrics. 2: 49–83. CiteSeerX 10.1.1.536.8334. doi:10.1093/jjfinec/nbh003

David Easley (1,959 words) [view diff] case mismatch in snippet view article find links to article

Traders, with Robert Engle, Maureen O'Hara and Liuren Wu, Journal of Financial Econometrics, 6, 171 - 207, Spring 2008. Rationality, with Lawrence Blume, in

Pakistan Institute of Development Economics (4,224 words) [view diff] exact match in snippet view article find links to article

probability theory, statistical methods, sampling, time series analysis, financial econometrics, and micro econometrics. This programme is for students having a

Stéphane Bonhomme (2,034 words) [view diff] case mismatch in snippet view article find links to article

latent-variable models". Journal of Econometrics. Theoretical and Financial Econometrics: Essays in honor of C. Gourieroux. 201 (2): 237–248. doi:10.1016/j

Estimation of covariance matrices (4,024 words) [view diff] case mismatch in snippet view article find links to article

A review and guide to covariance matrix estimation. Journal of Financial Econometrics, 20(1), 187-218. https://doi.org/10.1093/jjfinec/nbaa007 Schäfer

Chris Brooks (academic) (3,184 words) [view diff] case mismatch in snippet view article

Persand, G. (2005) Autoregressive conditional kurtosis. Journal of Financial Econometrics, 3 (3). pp. 399–421. ISSN 1479-8417 doi:10.1093/jjfinec/nbi018 Brooks

Approximate Bayesian computation (8,997 words) [view diff] case mismatch in snippet view article find links to article

Statistics & Data Analysis. 1st issue of the Annals of Computational and Financial Econometrics. 56 (11): 3743–3756. doi:10.1016/j.csda.2010.10.004. ISSN 0167-9473