Frontiers in Time Series and Financial Econometrics

Preprint OPEN
Ling, S. ; McAleer, M.J. ; Tong, H. (2015)
  • Subject: Time series, financial econometrics, threshold models, conditional volatility, stochastic volatility, copulas, conditional duration
    • jel: jel:C22 | jel:C32 | jel:C58 | jel:G32 | jel:G17
    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... View more
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