Econometric modelling in finance and risk management: an overview

DOI10.1016/J.JECONOM.2008.09.025zbMath1429.00029OpenAlexW2133685763MaRDI QIDQ299247

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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

long-range dependencefactor modelcontinuous-time modelcorrelation testdynamic additive modelestimation of realized volatility

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)

Cites Work

• Unnamed Item
• Nonlinear Time Series
• Realized Volatility: A Review
• Multivariate Stochastic Volatility: A Review
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY

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