Econometric modelling in finance and risk management: An overview

Jiti Gao, Michael McAleer, David E. Allen

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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.

Original languageEnglish
Pages (from-to)1-4
Number of pages4
JournalJournal of Econometrics
Volume147
Issue number1
DOIs
Publication statusPublished - 1 Nov 2008

Keywords

  • Continuous-time model
  • Correlation test
  • Dynamic additive model
  • Estimation of realized volatility
  • Factor model
  • Long-range dependence

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