Fat tailed Probability Distributions: Applications in Asset Pricing and Financial Econometrics
A special issue of International Journal of Financial Studies (ISSN 2227-7072).
Deadline for manuscript submissions: closed (15 March 2019) | Viewed by 3160
Special Issue Editor
Special Issue Information
Dear Colleagues,
It is now widely established, since the seminal work of Mandelbrot (1963) that, financial time series, such as commodity prices and prices of company stocks, are better described by probability distributions that exhibit fat tails. In particular, modeling these time series with such distributions is superior to modeling with the much more commonly used Gaussian distributions.
The development of volatility models by Robert Engle (1982) sparked a debate in the literature on whether the fat tails, discovered by Mandelbrot (1963), were a consequence of volatility clustering exhibited by these models, e.g. see de Vries (1991). However, the ensuing literature has convincingly established the suitability of modeling financial time series with fat-tailed distributions, in addition to modeling their time-varying volatility through the AutoRegressive Conditionally Heteroskedastic (ARCH) class of models of Engle (1982), or its myriad variants, including stochastic volatility models.
Ignoring fat tails, when present, in models of financial time series leads to consequences for properties of estimators, such as incorrect standard errors, non-standard asymptotic distributions, and so forth. In applied work, this has consequences for myriad issues related to modeling financial series, such as testing for predictability of stock prices, measurements of value-at-risk, measurements of implied volatility, options prices, to name a few; e.g. see Fama (1992) and McCulloch (1996).
This Special Issue entitled, “Fat-tailed Probability Distributions: Applications in Asset Pricing and Financial Econometrics” aims to publish high-quality current research at the forefront of this area. It has been a while since Dufour et al (2010) edited a special volume devoted to a somewhat similar endeavor.
Sincerely yours,
Prasad V. Bidarkota
Guest Editor
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 submissions that pass pre-check are 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. International Journal of Financial Studies 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 1800 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.
References
De Vries, C. (1991), On the Relation between GARCH and Stable Processes, Journal of Econometrics 48, p. 313‐324.Dufour, J‐M. et al (2010), Heavy Tails and Paretian Distributions in Empirical Finance. A Volume Honoring Benoît Mandelbrot, Journal of Empirical Finance, Vol. 17, No. 2, p. 177‐282.
Engle, R.F. (1982), Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation, Econometrica, Vol. 50, No. 4, p. 987-1007.
Fama, E. F. (1992), Efficient Capital Markets: II, The Journal of Finance, Vol. XLVI, No. 5, p. 1575‐1617.
Mandelbrot, B. (1963), The Variation of Certain Speculative Prices, The Journal of Business, Vol. 36, No. 4, p. 394‐419.
McCulloch, J. H. (1996), Financial Applications of Stable Distributions, Handbook of Statistics 14, p. 393‐425.
Keywords
- Fat-tailed Probability Distributions
- Financial Time Series
- Statistical / Econometric Modeling
- Applications in Finance / Business / Macroeconomics
Benefits of Publishing in a Special Issue
- Ease of navigation: Grouping papers by topic helps scholars navigate broad scope journals more efficiently.
- Greater discoverability: Special Issues support the reach and impact of scientific research. Articles in Special Issues are more discoverable and cited more frequently.
- Expansion of research network: Special Issues facilitate connections among authors, fostering scientific collaborations.
- External promotion: Articles in Special Issues are often promoted through the journal's social media, increasing their visibility.
- e-Book format: Special Issues with more than 10 articles can be published as dedicated e-books, ensuring wide and rapid dissemination.
Further information on MDPI's Special Issue polices can be found here.
