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
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