Recent Developments in Financial Economics and Econometrics:An Overview
Chia-Lin Chang (changchialin@email.nchu.edu.tw),
David Allen and
Michael McAleer
No 842, KIER Working Papers from Kyoto University, Institute of Economic Research
Abstract:
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and Econometrics†. The breadth of coverage is substantial, and includes original research and comprehensive review papers on theoretical, empirical and numerical topics in Financial Economics and Econometrics by leading researchers in finance, financial economics, financial econometrics and financial statistics. The purpose of this special issue on “Recent Developments in Financial Economics and Econometrics†is to highlight several novel and significant developments in financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and recurrence plots for detecting financial crisis, how news sentiment impacts asset volatility, with evidence from long memory and regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation with Quasi-PORT and DPOT, with an application to value-at-risk for financial variables, evaluating inflation targeting based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non-trading, using CARRX models to study factors affecting the volatilities of Asian equity markets, deciphering the Libor and Euribor spreads during the subprime crisis, information transmission between sovereign debt CDS and other financial factors for Latin America, time-varying mixture GARCH models and asymmetric volatility, and diagnostic checking for non-stationary ARMA models with an application to financial data.
Keywords: Dynamic price integration; local covariates; risk management; global financial crisis; credit risk; liquidity shock; micro-market noise; corporate risk taking; options; volatility; quantiles; news sentiment; contingent capital; value-at-risk; inflation targeting; size effects; exchange rates; realized range; equity markets; sub-prime crisis; sovereign debt CDS; mixture models; asymmetry; diagnostic checking.. (search for similar items in EconPapers)
JEL-codes: G11 G12 G13 G15 G18 (search for similar items in EconPapers)
Pages: 21pages
Date: 2013-01
New Economics Papers: this item is included in nep-ban and nep-sea
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Citations: View citations in EconPapers (4)
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Journal Article: Recent developments in financial economics and econometrics: An overview (2013) 
Working Paper: Recent Developments in Financial Economics and Econometrics: An Overview (2013) 
Working Paper: Recent Developments in Financial Economics and Econometrics: An Overview (2013) 
Working Paper: Recent Developments in Financial Economics and Econometrics: An Overview (2013) 
Working Paper: Recent Developments in Financial Economics and Econometrics: An Overview (2013) 
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