Econometric modelling in finance and risk management: an overview

DOI10.1016/J.JECONOM.2008.09.025zbMATH Open1429.00029OpenAlexW2133685763MaRDI QIDQ299247FDOQ299247

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

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zbMATH Keywords

factor modellong-range dependencecontinuous-time modelcorrelation testdynamic additive modelestimation of realized volatility

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (3)

• Frontiers in time series and financial econometrics: an overview
• Future perspectives in risk models and finance
• Modelling and simulation in management. Econometric models used in the management of organizations

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