Gao, Jiti and McAleer, Michael and Allen, Dave (2006): Econometric modelling in finance and risk management: An overview. Published in: Journal of Econometrics , Vol. 147, No. 1 (November 2008): pp. 1-4.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Econometric modelling in finance and risk management: An overview|
|Keywords:||Continuous-time model; correlation test; dynamic additive model; estimation of realized volatility; factor model; long-range dependence|
|Subjects:||C - Mathematical and Quantitative Methods > C5 - Econometric Modeling|
|Depositing User:||jiti Gao|
|Date Deposited:||09. Dec 2008 06:00|
|Last Modified:||25. Mar 2015 17:54|
Allen, D., Gao, J., McAleer, M., 2008. Modeling and managing financial risk: An overview. Mathematics and Computers in Simulation (in press).
Asai, M., McAleer, M., Yu, J., 2006. Multivariate stochastic volatility: A review. Econometric Reviews 25, 145–175.
Gao, J., 2007. Nonlinear Time Series: Semiparametric and Nonparametric Methods. Chapman & Hall/CRC, London.
Li, Q., Racine, J., 2007. Nonparametric Econometrics: Theory and Practice. Princeton University Press.
McAleer, M, 2005. Automated inference and learning in modelling financial volatility. Econometric Theory 21, 232–261.
McAleer, M., Mederiros, M., 2008. Realized volatility: A review. Econometric Reviews 27, 10–46.