The elements of financial econometrics
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Publication:2965995
zbMATH Open1366.91001MaRDI QIDQ2965995FDOQ2965995
Authors: Qiwei Yao, Jianqing Fan 
Publication date: 6 March 2017
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to statistics (62-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Cited In (13)
- Mining the factor zoo: estimation of latent factor models with sufficient proxies
- Spherical autoregressive models, with application to distributional and compositional time series
- Financial econometrics, mathematics, and statistics. Theory, method, and application
- Financial econometrics. Models and methods
- Robust high-dimensional tuning free multiple testing
- Quantitative investing. From theory to industry
- Error-correction factor models for high-dimensional cointegrated time series
- Current status data with two competing risks and missing failure types: a parametric approach
- Applied quantitative finance. Using Python for financial analysis
- Econometric analysis of carbon markets. The European Union Emissions Trading Scheme and the Clean Development Mechanism
- Portfolio optimization based on artificial neural network and GARCH-EVT-copula models
- The role of uncertainty on agricultural futures markets momentum trading and volatility
- Inference for heteroskedastic PCA with missing data
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