Frontiers in Time Series and Financial Econometrics
Time series, financial econometrics, threshold models, conditional volatility, stochastic volatility, copulas, conditional duration
arxiv: Statistics::Theory | Statistics::Applications | Statistics::Methodology
__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...