Panel Data and Factor Models in Empirical Finance

Dear Colleagues,

Nowadays, panel data methods and factor models play an important role in empirical finance. This Special Issue deals with the analysis of multivariate financial data that is characterized by a large number of cross-section units and time periods. The availability of “big” financial data sets has spurred many new developments in empirical finance. This issue invites submissions in the broad area of panel data modelling, large dimensional data and factors models with empirical applications in financial econometrics. A wide spectrum of methods might be covered ranging from the analysis of high-dimensional covariance matrices, dynamic factor models, spatial and quantile regressions. Possible topics for applications include (but are not limited to) asset pricing, risk management, volatility forecasting, portfolio allocation, speculative bubbles and stock return prediction.

Prof. Dr. Jörg Breitung
Prof. Dr. Robinson Kruse
Guest Editors

Manuscript Submission Information

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