Editorial: Nonlinear financial econometrics JoE special issue introduction

DOI10.1016/J.JECONOM.2019.12.001MaRDI QIDQ2190219zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 18 June 2020

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2019.12.001

Mathematics Subject Classification ID

Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Applications of statistics to economics (62P20) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Recommendations

• Foreword of the special issue: Nonlinear models and tools in economics, finance and social sciences
• Editorial. Annals Journal of Econometrics: Nonlinear and nonparametric methods in econometrics
• Guest editors' introduction
• Foreword to the special issue on nonlinear economic dynamics
• Editorial for the special issue on financial econometrics in the age of the digital economy

Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• Dynamics of variance risk premia: a new model for disentangling the price of risk
• Estimation of a multiplicative correlation structure in the large dimensional case
• Flexible multivariate Hill estimators
• Incorporating overnight and intraday returns into multivariate GARCH volatility models
• Liquidity and volatility in the U.S. Treasury market
• Multivariate Hill Estimators
• Multivariate leverage effects and realized semicovariance GARCH models
• Nearest comoment estimation with unobserved factors
• Nonlinearities and regimes in conditional correlations with different dynamics
• Partially censored posterior for robust and efficient risk evaluation
• Spanning tests for Markowitz stochastic dominance
• Structural Laplace Transform and Compound Autoregressive Models
• The leverage effect puzzle revisited: identification in discrete time
• Virtual historical simulation for estimating the conditional VaR of large portfolios
• Volatility estimation and jump detection for drift-diffusion processes

Cited in

(12)

• Editorial introduction on complexity and big data in economics and finance: recent developments from a Bayesian perspective
• Issue of the Annals of Econometrics on Indirect estimation methods in finance and economics
• Editorial. Overview: Time series analysis of higher moments and distributions of financial data
• Uncertainty in financial econometrics: editorial
• Editors' introduction: Heavy tails and stable Paretian distributions in econometrics
• Editorial for the special issue on financial econometrics in the age of the digital economy
• Foreword of the special issue: Nonlinear models and tools in economics, finance and social sciences
• Editorial: The econometrics of macroeconomics, finance, and the interface
• Editorial. Annals Journal of Econometrics: Nonlinear and nonparametric methods in econometrics
• Guest editors' introduction
• Editorial
• Foreword to the special issue on nonlinear economic dynamics

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