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 language | English |
|---|---|
| Pages (from-to) | 1-4 |
| Number of pages | 4 |
| Journal | Journal of Econometrics |
| Volume | 147 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 1 Nov 2008 |
Keywords
- Continuous-time model
- Correlation test
- Dynamic additive model
- Estimation of realized volatility
- Factor model
- Long-range dependence