This is an introduction to a five-volume collection of papers on financial econometrics to be published by Edward Elgar Publishers in 2007. Financial econometrics is one of the fastest growing branches of economics today, both in academia and in industry. The increasing sophistication of financial models requires equally sophisticated methods for their empirical implementation, and in recent ye...

This paper reviews a number of theoretical aspects for implementing an explicit spatial perspective in econometrics for modelling non-continuous data, in general, and count data, in particular. It provides an overview of the several spatial econometric approaches that are available to model data that are collected with reference to location in space, from the classical spatial econometrics appr...

Fredrik Thuring, Jens Perch Nielsen, Montserrat Guillén, Catalina Bolancé * Cass Business School, City University, London, United Kingdom, [email protected] (corresponding author) Cass Business School, City University, London, United Kingdom, [email protected] Department of econometrics, RISC-IREA, University of Barcelona, Spain, [email protected] Department of econometrics, RI...

Motivated by features of low latency data in financial econometrics we study in detail integervalued Lévy processes as the basis of price processes for high frequency econometrics. We propose using models built out of the difference of two subordinators. We apply these models in practice to low latency data for a variety of different types of futures contracts.

Suppose a data vector X = (X1, ..., Xn) follows a distribution with a density function pn(x|θ) which is fully characterized by some parameter vector θ = (θ1, ..., θd)′. Suppose that the prior belief about θ is characterized by a density p(θ) defined over a parameter space Θ, a subset of a Euclidian space R. Using Bayes’ rule to incorporate the information provided by the data, we can form poste...

Preamble These lecture notes were written for a 2nd-year Ph.D. course in econometrics of panel data and limited-dependent-variable-models. The primary goal of the course is to introduce tools necessary to understand and implement empirical studies in economics focusing on other than time-series issues. The main emphasis of the course is twofold: (i) to extend regression models in the context of...