• 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