Financial, macro and micro econometrics using R. (English) Zbl 1435.62026

Handbook of Statistics 42. Amsterdam: Elsevier/North Holland (ISBN 978-0-12-820250-0/hbk; 978-0-12-820251-7/ebook). xv, 333 p. (2020).

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Publisher’s description: Financial, Macro and Micro Econometrics Using R, Volume 42, provides state-of-the-art information on important topics in econometrics, including multivariate GARCH, stochastic frontiers, fractional responses, specification testing and model selection, exogeneity testing, causal analysis and forecasting, GMM models, asset bubbles and crises, corporate investments, classification, forecasting, nonstandard problems, cointegration, financial market jumps and co-jumps, among other topics.
Key features:
Presents chapters authored by distinguished, honored researchers who have received awards from the Journal of Econometrics or the Econometric Society
Includes descriptions and links to resources and free open source R
Gives readers what they need to jumpstart their understanding on the state-of-the-art

The articles of mathematical interest will be reviewed individually.
Indexed articles:
Mukherjee, Arpita; Peng, Weijia; Swanson, Norman R.; Yang, Xiye, Financial econometrics and big data: a survey of volatility estimators and tests for the presence of jumps and co-jumps, 3-59 [Zbl 1443.62365]
Phillips, Peter C. B.; Shi, Shuping, Real time monitoring of asset markets: bubbles and crises, 61-80 [Zbl 1443.62368]
Chu, Jianghao; Lee, Tae-Hwy; Ullah, Aman, Component-wise AdaBoost algorithms for high-dimensional binary classification and class probability prediction, 81-114 [Zbl 1443.62313]
Ghysels, Eric; Kvedaras, Virmantas; Zemlys-Balevičius, Vaidotas, Mixed data sampling (MIDAS) regression models, 117-153 [Zbl 1443.62258]
Sickles, Robin C.; Song, Wonho; Zelenyuk, Valentin, Econometric analysis of productivity: theory and implementation in R, 267-297 [Zbl 1443.62507]
Ferrara, Giancarlo, Stochastic frontier models using R, 299-326 [Zbl 1443.62525]


62-06 Proceedings, conferences, collections, etc. pertaining to statistics
91-06 Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance
62P05 Applications of statistics to actuarial sciences and financial mathematics
91G70 Statistical methods; risk measures
91B82 Statistical methods; economic indices and measures
62P20 Applications of statistics to economics
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
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