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Financial econometrics: Past developments and future challenges

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  • Bollerslev, Tim

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  • Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
  • Handle: RePEc:eee:econom:v:100:y:2001:i:1:p:41-51
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    1. Brownlees, C.T. & Gallo, G.M., 2006. "Financial econometric analysis at ultra-high frequency: Data handling concerns," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2232-2245, December.
    2. Aradhyula, Satheesh V. & Ergun, A. Tolga, 2002. "Trading Collar, Intraday, Periodicity, And Stock Market Volatility," 2002 Annual meeting, July 28-31, Long Beach, CA 19630, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    3. Yongmiao Hong & Jun Tu & Guofu Zhou, 2006. "Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation," Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1547-1581, 2007 23.
    4. Hong, Yongmiao & Liu, Yanhui & Wang, Shouyang, 2009. "Granger causality in risk and detection of extreme risk spillover between financial markets," Journal of Econometrics, Elsevier, vol. 150(2), pages 271-287, June.
    5. repec:wyi:journl:002098 is not listed on IDEAS
    6. Floros, Christos & Kizys, Renatas & Pierdzioch, Christian, 2013. "Financial crises, the decoupling–recoupling hypothesis, and the risk premium on the Greek stock index futures market," International Review of Financial Analysis, Elsevier, vol. 28(C), pages 166-173.
    7. Philip Hans Franses & Michael McAleer, 2002. "Financial volatility: an introduction," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 419-424.
    8. Ruiz, Esther & Peña, Daniel & Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Narayan, Seema & Smyth, Russell, 2015. "The financial econometrics of price discovery and predictability," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 380-393.
    10. Afees A. Salisu & Tirimisyu F. Oloko, 2017. "Are daily agricultural grains prices stationary? New evidence from GARCH-based unit root tests," Working Papers 036, Centre for Econometric and Allied Research, University of Ibadan.
    11. Erhard Reschenhofer, 2004. "Robust tests of the random walk hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 4(6), pages 57-60.
    12. Muhammad Najib Razali, 2015. "The dynamic of returns and volatility of Malaysian listed property companies in Asian property market," International Journal of Strategic Property Management, Taylor & Francis Journals, vol. 19(1), pages 66-83, March.
    13. Ming-Chih Lee & Jer-Shiou Chiou & Cho-Min Lin, 2006. "A study of value-at-risk on portfolio in stock return using DCC multivariate GARCH," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 2(3), pages 183-188, May.
    14. Kizys, Renatas & Pierdzioch, Christian, 2010. "The business cycle and the equity risk premium in real time," International Review of Economics & Finance, Elsevier, vol. 19(4), pages 711-722, October.
    15. Ruiz, Esther & Romo, Juan & Alva, Kenedy, 2009. "Modelling intra-daily volatility by functional data analysis: an empirical application to the spanish stock market," DES - Working Papers. Statistics and Econometrics. WS ws092809, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Scott Moss & Bruce Edmonds, 2005. "Towards Good Social Science," Journal of Artificial Societies and Social Simulation, Journal of Artificial Societies and Social Simulation, vol. 8(4), pages 1-13.
    17. Pascual, Lorenzo & Romo, Juan & Ruiz, Esther, 2006. "Bootstrap prediction for returns and volatilities in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2293-2312, May.

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