Econometric modelling in finance and risk management: An overview

Jiti Gao, Michael McAleer and David Allen

MPRA Paper from University Library of Munich, Germany

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)
JEL-codes: C5 (search for similar items in EconPapers)
Date: 2006-12, Revised 2007-11
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Journal of Econometrics 1.147(2008): pp. 1-4

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Journal Article: Econometric modelling in finance and risk management: An overview (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:11978

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