Financial Econometrics in Risk Management
A special issue of Risks (ISSN 2227-9091).
Deadline for manuscript submissions: closed (30 November 2021) | Viewed by 743
Special Issue Editors
Interests: GARCH models; outliers; robust methods
Interests: volatility models; copulas; risk management
Special Issue Information
Dear Colleagues,
Statistics, Economics, and Finance are part of Financial Econometrics, a growing field of research interesting for anyone involved in Risk Management. Since the financial crisis in 2008, there has been increasing interest in the application of econometric methods for financial risk analysis. Topics such as tail dependence, financial contagion, conditional volatility, conditional correlation, copula-based risk measures, tail risk, high-frequency data, GARCH, stochastic volatility, extreme value theory, and back-testing methods, among many others, have become very popular in the literature.
For this Special Issue, we invite researchers to submit papers addressing new challenges in these topics, particularly those that bring together data analysis and econometric modeling. Original research papers that make new theoretical and/or empirical contributions to this field are welcome.
Prof. Dr. M. Angeles Carnero
Prof. Dr. Angel León
Prof. Dr. Ana Pérez
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. Risks 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 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.
Keywords
- volatility models
- robust methods
- copulas
- expected shortfall
- value at risk
- heavy tails
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