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

DOI10.1016/j.jeconom.2018.09.002zbMath1411.00043OpenAlexW2895246148MaRDI QIDQ1739626

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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

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

Cites Work

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

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