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, Taiwan.
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: Econometric Analysis of Financial Derivatives: An Overview
Abstract: One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a
	financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated 
	and difficult to analyze. The purpose of this special issue of the journal on “Econometric Analysis of Financial 
	Derivatives” is to highlight several areas of research by leading academics in which novel econometric, financial 
	econometric, mathematical finance and empirical finance methods have contributed significantly to the econometric analysis 
	of financial derivatives, including market-based estimation of stochastic volatility models, the fine structure of 
	equity-index option dynamics, leverage and feedback effects in multifactor Wishart stochastic volatility for option 
	pricing, option pricing with non-Gaussian scaling and infinite-state switching volatility, stock return and cash flow 
	predictability: the role of volatility risk, the long and the short of the risk-return trade-off, What’s beneath the 
	surface? option pricing with multifrequency latent states, bootstrap score tests for fractional integration in 
	heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets, a stochastic 
	dominance approach to financial risk management strategies, empirical evidence on the importance of aggregation, 
	asymmetry, and jumps for volatility prediction, non-linear dynamic model of the variance risk premium, pricing with finite 
	dimensional dependence, quanto option pricing in the presence of fat tails and asymmetric dependence, smile from the past: 
	a general option pricing framework with multiple volatility and leverage components, COMFORT: A common market factor 
	non-Gaussian returns model, divided governments and futures prices, and model-based pricing for financial derivatives 
	keywords: Hedge Fund Diversi_cation, Spillover Index, Markowitz Analaysis, Downside Risk, CVaR, Draw-Down.
Classification-JEL: C55, C58, G23, G32.
Keywords: Stochastic volatility, Switching volatility, Volatility risk, Option pricing dynamics, Futures prices, Fractional 
	integration, Stochastic dominance, Variance risk premium, Fat tails, Leverage and asymmetry, Divided governments.
Note: The Guest Co-editors wish to thank the Editors of the Journal of Econometrics for their support and encouragement, and the 
	referees for their timely and very helpful comments and suggestions on the papers comprising the special issue. For 
	financial support, the first author wishes to thank the	National Science Council, Taiwan, and the .second author wishes to 
	acknowledge the Australian Research Council and the National Science Council, Taiwan.
Length: 20 pages
Creation-Date: 2014
Number: 2014-31 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1431.txt
File-URL: https://eprints.ucm.es/id/eprint/27822/1/1431.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1431