The Econometric Analysis of Financial Markets

Dear Colleagues,

In the last few decades, the application of highly sophisticated econometric methods both by researchers and professionals has become common in the analysis of financial markets. To a large extent, this evolution has been driven by the vast expansion of the financial markets and the increasing availability of data. This refers to daily (high frequency) and intra-daily data (ultra-high frequency) and has now reached tick-by-tick data as its natural limitation. Remarkably, not only does financial econometrics apply known methods to financial markets, but it has also developed a toolkit designed to deal with finance-specific questions. Accordingly, applications of econometrics to financial markets combine statistical skills with an understanding of financial markets.

The aim of this Special Issue is to provide a selection of econometric applications to problems arising from financial markets. Therefore, we invite submissions that rely on a wide range of econometric applications on financial markets, including the testing of price predictability and market efficiency, volatility modelling, non-linear models in finance, such as the GARCH-models, machine learning, regime-switching models, and microstructure topics, amongst others. Each article shall apply econometric techniques within the context of a particular financial application.

In this Special Issue, we welcome original and applied research articles, theoretical articles, and a limited number of review articles. Articles should link an econometric focus with financial markets, e.g., by applying sophisticated econometric methods.

We are pleased to invite you to submit this Special Issue your original research dealing with the above-presented problems.

We look forward to receiving your contributions.

Prof. Dr. Michael Frömmel
Prof. Dr. Youwei Li
Guest Editors

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