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Recent developments in financial economics and econometrics: An overview

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  • Chia-Lin Chang
  • Allen, David
  • McAleer, Michael

Abstract

Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and Econometrics”. The breadth of coverage is substantial, and includes original research and comprehensive review papers on theoretical, empirical and numerical topics in Financial Economics and Econometrics by leading researchers in finance, financial economics, financial econometrics and financial statistics. The purpose of this special issue on “Recent Developments in Financial Economics and Econometrics” is to highlight several novel and significant developments in financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and recurrence plots for detecting financial crisis, how news sentiment impacts asset volatility, with evidence from long memory and regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation with Quasi-PORT and DPOT, with an application to value-at-risk for financial variables, evaluating inflation targeting based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non-trading, using CARRX models to study factors affecting the volatilities of Asian equity markets, deciphering the Libor and Euribor spreads during the subprime crisis, information transmission between sovereign debt CDS and other financial factors for Latin America, time-varying mixture GARCH models and asymmetric volatility, and diagnostic checking for non-stationary ARMA models with an application to financial data.

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Bibliographic Info

Article provided by Elsevier in its journal The North American Journal of Economics and Finance.

Volume (Year): 26 (2013)
Issue (Month): C ()
Pages: 217–226

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Handle: RePEc:eee:ecofin:v:26:y:2013:i:c:p:217-226

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Web page: http://www.elsevier.com/locate/inca/620163

Related research

Keywords: Dynamic price integration; Local covariates; Risk management; Global financial crisis; Credit risk; Liquidity shock; Micro-market noise; Corporate risk taking; Options; Volatility; Quantiles; News sentiment; Contingent capital; Value-at-risk; Inflation targeting; Size effects; Exchange rates; Realized range; Equity markets; Sub-prime crisis; Sovereign debt CDS; Mixture models; Asymmetry; Diagnostic checking;

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References

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  1. Wang, Alan T. & Yang, Sheng-Yung & Yang, Nien-Tzu, 2013. "Information transmission between sovereign debt CDS and other financial factors – The case of Latin America," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 586-601.
  2. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 416-435.
  3. Michael McAleer & Juan-�ngel Jim�nez-Mart�n & Teodosio P�rez-Amaral, 2013. "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Tinbergen Institute Discussion Papers 13-010/III, Tinbergen Institute.
  4. Bannouh, Karim & Martens, Martin & van Dijk, Dick, 2013. "Forecasting volatility with the realized range in the presence of noise and non-trading," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 535-551.
  5. Allen, David E. & Singh, Abhay K. & Powell, Robert J., 2013. "EVT and tail-risk modelling: Evidence from market indices and volatility series," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 355-369.
  6. Chang, Chia-Lin & Hsu, Hui-Kuang & McAleer, Michael, 2013. "Is small beautiful? Size effects of volatility spillovers for firm performance and exchange rates in tourism," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 519-534.
  7. Kotzé, Antonie & Labuschagne, Coenraad C.A. & Nair, Merell L. & Padayachi, Nadine, 2013. "Arbitrage-free implied volatility surfaces for options on single stock futures," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 380-399.
  8. So, Mike K.P. & Wong, Jerry & Asai, Manabu, 2013. "Stress testing correlation matrices for risk management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 310-322.
  9. Araújo Santos, Paulo & Fraga Alves, Isabel & Hammoudeh, Shawkat, 2013. "High quantiles estimation with Quasi-PORT and DPOT: An application to value-at-risk for financial variables," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 487-496.
  10. Ho, Kin-Yip & Shi, Yanlin & Zhang, Zhaoyong, 2013. "How does news sentiment impact asset volatility? Evidence from long memory and regime-switching approaches," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 436-456.
  11. Kuo, Chii-Shyan & Yu, Shih-Ti, 2013. "The non-uniform pricing effect of employee stock options using quantile regression," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 400-415.
  12. Ling, Shiqing & Zhu, Ke & Yee, Chong Ching, 2013. "Diagnostic checking for non-stationary ARMA models with an application to financial data," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 624-639.
  13. Kunitomo, Naoto & Sato, Seisho, 2013. "Separating Information Maximum Likelihood estimation of the integrated volatility and covariance with micro-market noise," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 282-309.
  14. Chia-Lin Chang & Hui-Kuang Hsu & Michael McAleer, 2013. "Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism," Tinbergen Institute Discussion Papers 13-008/III, Tinbergen Institute.
  15. Garvey, John & Gallagher, Liam A., 2013. "The economics of data: Using simple model-free volatility in a high-frequency world," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 370-379.
  16. Chang, Chia-Lin & Chang, Jui-Chuan Della & Huang, Yi-Wei, 2012. "Dynamic Price Integration in the Global Gold Market," MPRA Paper 41627, University Library of Munich, Germany.
  17. da Silva, Marcos Soares & Divino, Jose Angelo, 2013. "The role of banking regulation in an economy under credit risk and liquidity shock," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 266-281.
  18. Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.
  19. Haas, Markus & Krause, Jochen & Paolella, Marc S. & Steude, Sven C., 2013. "Time-varying mixture GARCH models and asymmetric volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 602-623.
  20. Gupta, Anshul & Akuzawa, Toshinao & Nishiyama, Yoshihiko, 2013. "Quantitative evaluation of contingent capital and its applications," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 457-486.
  21. Ng, Andrew C.Y. & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2013. "Pricing options on stocks denominated in different currencies: Theory and illustrations," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 339-354.
  22. Ginindza, Mzwandile & Maasoumi, Esfandiar, 2013. "Evaluating inflation targeting based on the distribution of inflation and inflation volatility," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 497-518.
  23. Loriana Pelizzon & Domenico Sartore, 2013. "Deciphering the Libor and Euribor Spreads during the subprime crisis," Working Papers 2013: 14, Department of Economics, University of Venice "Ca' Foscari".
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Cited by:
  1. Chang, Chia-Lin, 2014. "Modelling a Latent Daily Tourism Financial Conditions Index," MPRA Paper 54887, University Library of Munich, Germany.

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