Special Issue "Recent Developments of Financial Econometrics"
A special issue of Econometrics (ISSN 2225-1146).
Deadline for manuscript submissions: closed (29 February 2016)
Dr. Fredj Jawadi (Website)
University of Evry Val d’Essonne, 2 rue Facteur Cheval, Baîtment La Poste, Bureau 226 Evry 91025, France
Interests: Applied econometrics; Nonlinear Dynamics; financial econometrics and financial macroeconomics
Prof. Dr. Tony S. Wirjanto (Website)
1 School of Accounting & Finance (SAF), Faculty of Arts, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1, Canada 2 Department of Statistics & Actuarial Science (SAS), Faculty of Mathematics, University of Waterloo, Waterloo, Ontario, Canada N2L 3G1, Canada
Interests: econometrics and statistics; financial econometrics and financial statistics; financial time series; mathematical finance; finance
Prof. Dr. Marc S. Paolella (Website)
Department of Banking and Finance, University of Zurich, Zurich, Switzerland
Interests: computational statistics; volatility modeling; large-scale multivariate density prediction of financial asset returns; portfolio optimization
Prof. Dr. Nuttanan Wichitaksorn (Website)
1Thailand Development Research Institute, Bangkok, Thailand
2 School of Mathematics and Statistics, University of Canterbury, New Zealand
Interests: Bayesian Econometrics and Statistics with applications in economics, finance, health science, and social science
In the aftermath of the 2008/2009 global financial crises, several international capital markets experienced severe losses. In order to limit these losses and improve risk control, the financial market authorities adopted new regulatory measures to strengthen the financial systems, control algorithm and flash trading, improve market organization, and advance risk management. The availability of high frequency market data and the development of recent econometric models are of real interest in assessing the efficiency of these new regulatory measures and to test their appropriateness. Moreover, this can also help identify the main characteristics of the financial market data, resolve the issues raised by high frequency data, improve the understanding of price formation, and assess the risk dynamics.
In the light of this, as one of the organizers, guest editor Dr. Jawadi is delighted to inform that the 2nd International Workshop on “Financial Markets and Nonlinear Dynamics” (FMND) will be held in Paris on June 4–5, 2015. The aim of the workshop is to discuss innovative modelling approaches that can serve as valuable frameworks to deal with these issues, with a particular interest for nonlinear models. The workshop aims at bringing together academics and professionals (economists, financiers, and econometricians) to discuss these issues and to present their recent theoretical and empirical findings. It will also serve as a valuable platform for discussing innovative and thought provoking ideas on nonlinear high frequency data modelling. For more information, please refer to www.fmnd.fr.
This special issue is also dedicated to selected papers from a research conference on Financial Econometrics and Quantitative Risk Management, organized by guest editors Drs. Paolella and Wichitaksorn, and sponsored by a joint collaboration with Chulalongkorn University Department of Banking and Finance, the Thailand Development Research Institute (TDRI), and a grant from the Swiss Federal Institute of Technology (ETH) Federal Department of Economic Affairs. The confirmed keynote speaker is Professor Paul Embrechts, ETH. The event will take place on August 21, 2015 at the TDRI in Bangkok. Topics of interest include, but are not limited to, studies of financial risk measures such as Value at Risk and Expected Shortfall, modern methods for portfolio allocation, credit risk modeling, insurance mathematics, option pricing, high-frequency data, and bank systemic risk.
The special issue aims to publish papers that might include (but are not restricted to) theoretical, experimental and empirical research in the following areas:
- Financial Econometrics
- Threshold Modeling
- Switching Regime Models
- GARCH Modeling
- Copula Techniques
- Simulation Methods
- Non Parametric Models
- Dynamic Conditional Moments
- Bayesian Analysis
Dr. Fredj Jawadi
Prof. Dr. Tony S. Wirjanto
Prof.Marc S. Paolella
Dr. Nuttanan Wichitaksorn
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. Papers will be published continuously (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are refereed through a peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Econometrics is an international peer-reviewed Open Access quarterly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. For the first couple of issues the Article Processing Charge (APC) will be waived for well-prepared manuscripts. English correction and/or formatting fees of 250 CHF (Swiss Francs) will be charged in certain cases for those articles accepted for publication that require extensive additional formatting and/or English corrections.
Reference Literature for this Special Issue
Gourieroux, C.; Monfort, A.; Pegoraro, F.; Renne, J.-P. Regime switching and bond pricing. J. Financ. Econom. 2014, 12, 237–277.