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
Link To Document :
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