Econometric modelling in finance and risk management: An overview

Jiti Gao, Michael McAleer and David Allen

Journal of Econometrics, 2008, vol. 147, issue 1, 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.

Keywords: Continuous-time; model; Correlation; test; Dynamic; additive; model; Estimation; of; realized; volatility; Factor; model; Long-range; dependence (search for similar items in EconPapers)
Date: 2008
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Working Paper: Econometric modelling in finance and risk management: An overview (2007)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:147:y:2008:i:1:p:1-4

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