Econometric modelling in finance and risk management: An overview

Authors

Jiti Gao, University of Adelaide
Michael McAleer, University of Western Australia
David E. Allen, Edith Cowan UniversityFollow

Document Type

Journal Article

Publisher

Elsevier BV, North-Holland

Faculty

Faculty of Business and Law

School

School of Accounting, Finance and Economics

RAS ID

6260

Comments

Gao, J., McAleer, M., & Allen, D. E. (2008). Econometric modelling in finance and risk management: An overview . Journal of Econometrics, 147 (1), 1-4. Available here

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.

DOI

10.1016/j.jeconom.2008.09.025