Financial Econometrics – Theory and Applications
Edited by Shuping Shi, Xiaohu Wang, and Tao Zeng
In Honour of Jun Yu
To be published by Cambridge University Press
Chapter 1: Asymptotics of Polynomial Time Trend Estimation and Hypothesis Testing under Rank Deficiency By Peter C. B. Phillips
Chapter 2: Econometric Analysis of Asset Price Bubbles By Shuping Shi and Peter C. B. Phillips
Chapter 3: Factor-Augmented Regressions and their Applications to Financial Markets: A Selective Review By Yonghui Zhang
Chapter 4: Finite Sample Theory in Continuous-Time Models By Xiaohu Wang
Chapter 5: In-fill Asymptotic Theory and Applications in Financial Econometrics By Yiu Lim Yui
Chapter 6: Econometric Analysis of Nonstationary Continuous-Time Models By Ye Chen
Chapter 7: Fractional Brownian Motions in Financial Econometrics By Weilin Xiao and Xili Zhang
Chapter 8: Estimation of Integrated Covariance Matrix Using High Frequency Data with Applications in Portfolio Choice By Cheng Liu
Chapter 9: Methods for Estimating Discrete-Time Stochastic Volatility Models By Xiaobin Liu
Chapter 10: Hypothesis Testing Statistics Based on Posterior Output with Applications in Financial Econometrics By Yong Li
Chapter 11: Posterior-Based Specification Testing and Model Selection By Tao Zeng