Econometric modelling in finance and risk management: An overview
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 11978.
Date of creation: Dec 2006
Date of revision: Nov 2007
Publication status: Published in Journal of Econometrics 1.147(2008): pp. 1-4
Continuous-time model; correlation test; dynamic additive model; estimation of realized volatility; factor model; long-range dependence;
Other versions of this item:
- Gao, Jiti & McAleer, Michael & Allen, David E., 2008. "Econometric modelling in finance and risk management: An overview," Journal of Econometrics, Elsevier, Elsevier, vol. 147(1), pages 1-4, November.
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
- Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, Elsevier, vol. 79(8), pages 2521-2524.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- Manabu Asai & Michael McAleer & Jun Yu, 2006.
"Multivariate Stochastic Volatility,"
Microeconomics Working Papers
22058, East Asian Bureau of Economic Research.
- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
- Michael McAleer & Marcelo Cunha Medeiros, 2006.
"Realized volatility: a review,"
Textos para discussÃ£o, Department of Economics PUC-Rio (Brazil)
531 Publication status: F, Department of Economics PUC-Rio (Brazil).
- McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 21(01), pages 232-261, February.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, Princeton University Press, edition 1, volume 1, number 8355.
- Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 25(2-3), pages 139-144.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ekkehart Schlicht).
If references are entirely missing, you can add them using this form.