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Econometric modelling in finance and risk management: An overview

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  • Gao, Jiti
  • McAleer, Michael
  • Allen, Dave

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

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References

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  1. 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.
  2. 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.
  3. Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
  4. Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility," Microeconomics Working Papers 22058, East Asian Bureau of Economic Research.
  5. Michael McAleer & Marcelo Cunha Medeiros, 2006. "Realized volatility: a review," Textos para discussão, Department of Economics PUC-Rio (Brazil) 531 Publication status: F, Department of Economics PUC-Rio (Brazil).
  6. 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.
  7. 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.
  8. 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.
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