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Econometric Analysis of Financial Derivatives: An Overview

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Abstract

One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the Journal of Econometrics on “Econometric Analysis of Financial Derivatives” is to highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives.

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  • Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    • Handle: RePEc:cbt:econwp:14/29
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    Cited by:

    1. Mohammad Naim Azimi, 2016. "Modeling the Clustering Volatility of India¡¯s Wholesale Price Index and the Factors Affecting It," Journal of Management and Sustainability, Canadian Center of Science and Education, vol. 6(1), pages 141-148, March.
    2. Chia-Lin Chang & Tai-Lin Hsieh & Michael McAleer, 2018. "Connecting VIX and Stock Index ETF with VAR and Diagonal BEKK," JRFM, MDPI, vol. 11(4), pages 1-25, September.
    3. Corsaro, Stefania & Kyriakou, Ioannis & Marazzina, Daniele & Marino, Zelda, 2019. "A general framework for pricing Asian options under stochastic volatility on parallel architectures," European Journal of Operational Research, Elsevier, vol. 272(3), pages 1082-1095.
    4. Denys Pommeret & Laurence Reboul & Anne-francoise Yao, 2023. "Testing the equality of the laws of two strictly stationary processes," Statistical Inference for Stochastic Processes, Springer, vol. 26(1), pages 193-214, April.
    5. Azimi, Mohammad Naim, 2015. "Modelling the Clustering Volatility of India's Wholesales Price Index and the Factors Affecting it," MPRA Paper 70267, University Library of Munich, Germany.

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    More about this item

    Keywords

    Stochastic volatility; switching volatility; volatility risk; option pricing dynamics; futures prices; fractional integration; stochastic dominance; variance risk premium; fat tails; leverage and asymmetry; divided governments;
    All these keywords.

    JEL classification:

    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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