Econometric Analysis of Financial Derivatives: An Overview

Chia-Lin Chang () and Michael McAleer

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

Abstract: One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the Journal of Econometrics on “Econometric Analysis of Financial Derivatives” is to highlight several areas of research by leading academics in which novel econometric, financial econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis of financial derivatives.

Keywords: Stochastic volatility; switching volatility; volatility risk; option pricing dynamics; futures prices; fractional integration; stochastic dominance; variance risk premium; fat tails; leverage and asymmetry; divided governments (search for similar items in EconPapers)
JEL-codes: C55 C58 G23 G32 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2014-12-15
New Economics Papers: this item is included in nep-cfn
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https://repec.canterbury.ac.nz/cbt/econwp/1429.pdf (application/pdf)

Related works:
Journal Article: Econometric analysis of financial derivatives: An overview (2015)
Working Paper: Econometric Analysis of Financial Derivatives: An Overview (2014)
Working Paper: Econometric Analysis of Financial Derivatives: An Overview (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:14/29

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