Template-type: ReDIF-Paper 1.0
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286 
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University
	Taichung, Taiwan
Author-Name: David Allen
Author-Workplace-Name: School of Accounting, Finance and Economics Edith Cowan University, Australia.
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: Recent Developments in Financial Economics and Econometrics: An Overview
Abstract: Research papers in empirical finance and financial econometrics are among the most widely cited, 
	downloaded and viewed articles in the discipline of Finance. The special issue presents several papers 
	by leading scholars in the field on “Recent Developments in Financial Economics and Econometrics”. The 
	breadth of coverage is substantial, and includes original research and comprehensive review papers on 
	theoretical, empirical and numerical topics in Financial Economics and Econometrics by leading researchers 
	in finance, financial economics, financial econometrics and financial statistics. The purpose of this 
	special issue on “Recent Developments in Financial Economics and Econometrics” is to highlight several 
	novel and significant developments in financial economics and financial econometrics, specifically dynamic 
	price integration in the global gold market, a conditional single index model with local covariates for 
	detecting and evaluating active management, whether the Basel Accord has improved risk management during 
	the global financial crisis, the role of banking regulation in an economy under credit risk and liquidity 
	shock, separating information maximum likelihood estimation of the integrated volatility and covariance 
	with micro-market noise, stress testing correlation matrices for risk management, whether bank relationship 
	matters for corporate risk taking, with evidence from listed firms in Taiwan, pricing options on stocks 
	denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with 
	evidence from market indices and volatility series, the economics of data using simple model free volatility 
	in a high frequency world, arbitrage-free implied volatility surfaces for options on single stock futures, 
	the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and 
	recurrence plots for detecting financial crisis, how news sentiment impacts asset volatility, with evidence 
	from long memory and regime-switching approaches, quantitative evaluation of contingent capital and its 
	applications, high quantiles estimation with Quasi-PORT and DPOT, with an application to value-at-risk for 
	financial variables, evaluating inflation targeting based on the distribution of inflation and inflation 
	volatility, the size effects of volatility spillovers for firm performance and exchange rates in tourism, 
	forecasting volatility with the realized range in the presence of noise and non-trading, using CARRX models 
	to study factors affecting the volatilities of Asian equity markets, deciphering the Libor and Euribor 
	spreads during the subprime crisis, information transmission between sovereign debt CDS and other financial 
	factors for Latin America, time-varying mixture GARCH models and asymmetric volatility, and diagnostic 
	checking for non-stationary ARMA models with an application to financial data.
Classification-JEL: G11, G12, G13, G15, G18.
Keywords: Dynamic price integration, Local covariates, Risk management, Global financial crisis, Credit risk, 
	Liquidity shock, Micro-market noise, Corporate risk taking, Options, Volatility, Quantiles, News sentiment, 
	Contingent capital, value-at-risk, inflation targeting, size effects, exchange rates, Realized range, 
	Equity markets, Sub-prime crisis, sovereign debt CDS, Mixture models, Asymmetry, Diagnostic checking.
Note: For financial support, the first author is most grateful to the National Science Council, Taiwan, and the 
	third author wishes to acknowledge the Australian Research Council, National Science Council, Taiwan, and 
	the Japan Society for the Promotion of Science.
 
Length: 21 pages 
Creation-Date: 2013-01 
Number: 2013-03 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1303.txt
File-URL: https://eprints.ucm.es/id/eprint/17814/1/1303.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1303