Econometric modelling in finance and risk management: an overview

DOI10.1016/J.JECONOM.2008.09.025MaRDI QIDQ299247zbMATH OpenOpenAlexFDO

Authors

Publication date 22 June 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.09.025

zbMATH Keywords

continuous-time modelcorrelation testdynamic additive modelestimation of realized volatilityfactor modellong-range dependence

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)

Recommendations

• Realized Volatility and Long Memory: An Overview
• Frontiers in time series and financial econometrics: an overview
• Introduction to the special issue on volatility modelling
• Financial econometrics. Methods and models
• Financial statistics and risk management: an overview

Cites work

• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Multivariate Stochastic Volatility: A Review
• Nonlinear Time Series
• Nonparametric econometrics. Theory and practice.
• Realized Volatility: A Review

Cited in

(4)

• Introduction to the special issue on volatility modelling
• Future perspectives in risk models and finance
• Modelling and simulation in management. Econometric models used in the management of organizations
• Frontiers in time series and financial econometrics: an overview

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