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Econometric modelling in finance and risk management: An overview

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Author Info
Gao, Jiti
McAleer, Michael
Allen, Dave

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Abstract

This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized volatility, modeling time series and continuous-time models with long-range dependence, estimation and specification testing of time series models, estimation in a factor model with high-dimensional problems, finite-sample examination of quasi-maximum likelihood estimation in an autoregressive conditional duration model, and estimation in a dynamic additive quantile model.

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File URL: http://mpra.ub.uni-muenchen.de/11978/
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Publisher Info
Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 11978.

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Date of creation: Dec 2006
Date of revision: Nov 2007
Publication status: Published in Journal of Econometrics 1.147(2008): pp. 1-4
Handle: RePEc:pra:mprapa:11978

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Related research
Keywords: Continuous-time model; correlation test; dynamic additive model; estimation of realized volatility; factor model; long-range dependence;

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Find related papers by JEL classification:
C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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References listed on IDEAS
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  1. Michael McAleer & Marcelo Medeiros, 2008. "Realized Volatility: A Review," Econometric Reviews, Taylor and Francis Journals, vol. 27(1-3), pages 10-45. [Downloadable!] (restricted)
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  2. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo. [Downloadable!]
  3. McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261, February. [Downloadable!]
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This page was last updated on 2009-12-19.

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