Frontiers in Time Series and Financial Econometrics: An Overview

Shiqing Ling (maling@ust.hk), Michael McAleer and Howell Tong

No 2015-04, Documentos de Trabajo del ICAE from Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico

Abstract: Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and Financial Econometrics” is to highlight several areas of research by leading academics in which novel methods have contributed significantly to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance, prediction of Lévy-driven CARMA processes, functional index coefficient models with variable selection, LASSO estimation of threshold autoregressive models, high dimensional stochastic regression with latent factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward optimal model averaging in regression models with time series errors, high dimensional dynamic stochastic copula models, a misspecification test for multiplicative error models of non-negative time series processes, sample quantile analysis for long-memory stochastic volatility models, testing for independence between functional time series, statistical inference for panel dynamic simultaneous equations models, specification tests of calibrated option pricing models, asymptotic inference in multiple-threshold double autoregressive models, a new hyperbolic GARCH model, intraday value-at-risk: an asymmetric autoregressive conditional duration approach, refinements in maximum likelihood inference on spatial autocorrelation in panel data, statistical inference of conditional quantiles in nonlinear time series models, quasi-likelihood estimation of a threshold diffusion process, threshold models in time series analysis - some reflections, and generalized ARMA models with martingale difference errors.

Keywords: Time series; Financial econometrics; Threshold models; Conditional volatility; Stochastic volatility; Copulas; Conditional duration. (search for similar items in EconPapers)
JEL-codes: C22 C52 C58 G32 (search for similar items in EconPapers)
Pages: 23 pages
Date: 2015-02
New Economics Papers: this item is included in nep-ets, nep-for and nep-ore
Note: The Guest Co-editors wish to thank the Editors of the Journal of Econometrics for their support and encouragement, and the referees for their timely and very helpful comments and suggestions on the papers comprising the special issue. For financial support, the second author wishes to thank the Australian Research Council and the National Science Council, Taiwan.
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Journal Article: Frontiers in Time Series and Financial Econometrics: An overview (2015)
Working Paper: Frontiers in Time Series and Financial Econometrics: An Overview (2015)
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