Econometric modelling in finance and risk management: An overview
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.
|Date of creation:||Dec 2006|
|Date of revision:||Nov 2007|
|Publication status:||Published in Journal of Econometrics 1.147(2008): pp. 1-4|
|Contact details of provider:|| Postal: |
Web page: https://mpra.ub.uni-muenchen.de
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- Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007.
"Multivariate stochastic volatility,"
CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
- Manabu Asai & Michael McAleer & Jun Yu, 2006. "Multivariate Stochastic Volatility: A Review," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 145-175.
- Esfandiar Maasoumi & Michael McAleer, 2006. "Multivariate Stochastic Volatility: An Overview," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 139-144.
- Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
- Gao, Jiti, 2007. "Nonlinear time series: semiparametric and nonparametric methods," MPRA Paper 39563, University Library of Munich, Germany, revised 01 Sep 2007.
- McAleer, Michael, 2005. "Automated Inference And Learning In Modeling Financial Volatility," Econometric Theory, Cambridge University Press, vol. 21(01), pages 232-261, February.
- Allen, David E. & Gao, Jiti & McAleer, Michael, 2009. "Modelling and managing financial risk: An overview," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2521-2524.
- Michael McAleer & Marcelo Medeiros, 2008.
"Realized Volatility: A Review,"
Taylor & Francis Journals, vol. 27(1-3), pages 10-45.
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