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Bayesian Estimation of DSGE Models

Bayesian Estimation of DSGE Models

Edward P. Herbst and Frank Schorfheide

Published in print:
2015
Published Online:
October 2017
ISBN:
9780691161082
eISBN:
9781400873739
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161082.001.0001
Subject:
Economics and Finance, Econometrics

Dynamic stochastic general equilibrium (DSGE) models have become one of the workhorses of modern macroeconomics and are extensively used for academic research as well as forecasting and policy ... More

The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

The Econometric Analysis of Recurrent Events in Macroeconomics and Finance

Don Harding and Adrian Pagan

Published in print:
2016
Published Online:
January 2018
ISBN:
9780691167084
eISBN:
9781400880935
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691167084.001.0001
Subject:
Economics and Finance, Econometrics

The global financial crisis highlighted the impact on macroeconomic outcomes of recurrent events like business and financial cycles, highs and lows in volatility, and crashes and recessions. At the ... More

High-Frequency Financial Econometrics

High-Frequency Financial Econometrics

Yacine Aït-Sahalia and Jean Jacod

Published in print:
2014
Published Online:
October 2017
ISBN:
9780691161433
eISBN:
9781400850327
Item type:
book
Publisher:
Princeton University Press
DOI:
10.23943/princeton/9780691161433.001.0001
Subject:
Economics and Finance, Econometrics

High-frequency trading is an algorithm-based computerized trading practice that allows firms to trade stocks in milliseconds. Over the last fifteen years, the use of statistical and econometric ... More

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