Editorial for the special issue on financial engineering and risk management for JoE

DOI10.1016/J.JECONOM.2018.09.002MaRDI QIDQ1739626zbMATH OpenOpenAlexFDO

Authors

Publication date 26 April 2019

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2018.09.002

Mathematics Subject Classification ID

Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Applications of statistics to actuarial sciences and financial mathematics (62P05) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Cites work

• A unified test for predictability of asset returns regardless of properties of predicting variables
• Banded spatio-temporal autoregressions
• Climate risks and market efficiency
• Daily price limits and destructive market behavior
• Estimating the integrated volatility with tick observations
• Factor models for matrix-valued high-dimensional time series
• Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
• Large-dimensional factor modeling based on high-frequency observations
• Mark to market value at risk
• Optimum thresholding using mean and conditional mean squared error
• Robust covariance estimation for approximate factor models
• Semiparametric estimation of the bid-ask spread in extended roll models
• Tail event driven networks of SIFIs
• The algebra of two scales estimation, and the S-TSRV: high frequency estimation that is robust to sampling times
• The scale of predictability

This page was built for publication: Editorial for the special issue on financial engineering and risk management for JoE

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1739626)