Recent Developments in Time Series Analysis and Financial Econometrics
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Economics and Finance".
Deadline for manuscript submissions: closed (31 December 2022) | Viewed by 423
Special Issue Editors
Interests: non-linear time-series analysis; financial econometrics; forecasting; forecast evaluation; realized measures; volatility; financial risk management
Interests: estimation, specification testing and prediction of financial Volatility in continuous time models; analyzing macroeconomic and financial time series using long memory models; identifying the macroeconomic determinants of stock-market volatility; studying the dependence of multivariate financial time series using copulas; evaluating competing trading strategies; analyzing the features and the effects of market microstructure noise
Special Issue Information
Dear Colleagues,
In recent years, the availability of high-frequency financial data and advances in computing have allowed researchers and practitioners to design methods and models that can handle and analyze this information.
The multidimensionality of the dataset and the complexity of the dependence structure imply that the true complex model underlying the data-generating processes can be viewed as the result of interactions among different simpler structures/models. Hence, econometric and statistical methods that aim to interpret, simulate, and predict reality must face and take into account this complexity.
The Special Issue on “Recent Developments in Time Series Analysis and Financial Econometrics” aims to bring together novel articles addressing the many empirical and theoretical research questions raised by the nature and intrinsic properties of these data.
Prof. Dr. Alessandra Amendola
Prof. Dr. Walter Distaso
Guest Editors
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. Journal of Risk and Financial Management is an international peer-reviewed open access monthly 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 1400 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.
Keywords
- nonlinear time-series analysis
- financial econometrics
- forecasting
- forecast evaluation
- realized measures
- volatility
- financial risk management
