Econometric modelling in finance and risk management: An overview

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.

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.

• Item Type: MPRA Paper
• Language: English
• 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

References

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.