Title of article
Econometric modelling in finance and risk management: An overview
Author/Authors
Gao، نويسنده , , Jiti and McAleer، نويسنده , , Michael and Allen، نويسنده , , David E.، نويسنده ,
Issue Information
دوفصلنامه با شماره پیاپی سال 2008
Pages
4
From page
1
To page
4
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
Factor Model , long-range dependence , Estimation of realized volatility , Continuous-time model , Correlation test , Dynamic additive model
Journal title
Journal of Econometrics
Serial Year
2008
Journal title
Journal of Econometrics
Record number
1559531
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