publication . Research . Preprint . 2015

Frontiers in Time Series and Financial Econometrics

Ling, S.; McAleer, M.J.; Tong, H.;
Open Access English
  • Published: 01 Feb 2015
Abstract
markdownabstract__Abstract__ Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and Financial Econometrics” is to highlight several areas of research by leading academics in which novel methods have contributed significantly to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry and long memory in reali...
Subjects
arXiv: Statistics::MethodologyStatistics::TheoryStatistics::Applications
free text keywords: Time series, financial econometrics, threshold models, conditional volatility, stochastic volatility, copulas, conditional duration, Time series, financial econometrics, threshold models, conditional volatility, stochastic volatility, copulas, conditional duration, jel:C22, jel:C32, jel:C58, jel:G17, jel:G32
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