Econometric modelling in finance and risk management: an overview

DOI10.1016/J.JECONOM.2008.09.025MaRDI QIDQ299247zbMATHOpenAlexFDO

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

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)

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)

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

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