Special Issue "Volatility Modeling"
A special issue of Econometrics (ISSN 2225-1146).
Deadline for manuscript submissions: closed (30 June 2018).
Interests: financial econometrics; applied econometrics; high-frequency data analysis; financial contagion and volatility modeling; tail risk measurement
Interests: financial econometrics; term structure modeling; risk management in finance and insurance; derivative pricing; asset allocation; encompassing theory; nonparametric statistics and specification tests
Interests: financial econometrics; financial and macroeconomic connectedness; applied econometrics; financial contagion; volatility modeling; network theory
The subprime and European sovereign crises have shown the need for better econometric techniques to understand asset price fluctuations, market uncertainty and global risk spillovers. The availability of high frequency data and the rise of high frequency trading also raise new research and policy questions. Researchers and econometricians continue to develop new tools and methods that help explain how volatility varies over time and whether or not volatility risk is transmitted across regions and asset classes. Given these recent advances, the primary objective of this Special Issue is to foster the latest research progress on volatility dynamics with the main theme on the econometric analysis of financial volatility modeling, measurement and forecasting from both theoretical and applied/empirical perspectives. We invite submissions on topics that are broadly related (but not limited) to:
- Volatility analysis with high-frequency data,
- Measurement of volatility risk and premium,
- Determinants of volatility: the role of news announcements,
- Volatility networks and (inter)connectedness,
- Price volatility and market microstructure,
- Econometric assessment of market volatility and monetary policy,
- Multivariate volatility estimation and co-jumps,
- High frequency trading (HFT) and price volatility,
- Volatility of volatility and jumps: new tests and inference
- Volatility forecasting and macroeconomic uncertainty
- Non-linear volatility models and implications for portfolio optimization
Manuscript Submission Information
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. All papers will be peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short 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 thoroughly refereed through a single-blind 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. The Article Processing Charge (APC) for publication in this open access journal is 1000 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
- Stochastic volatility
- Volatility models
- multivariate volatility
- volatility measurement and forecasting
- Volatility in continuous-time
- Volatility jumps
- monetary policy and market volatility