Template-type: ReDIF-Paper 1.0
Author-Name: Shiqing Ling 
Author-Person: pli831
Author-Workplace-Name: Department of Mathematics Hong Kong University of Science and Technology Hong Kong, China
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. 
Author-Name: Howell Tong
Author-Person: pto294
Author-Workplace-Name: Emeritus Professor Department of Statistics. London School of Economics
Title: Frontiers in Time Series and Financial Econometrics: An Overview
Abstract: Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. 
	Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, 
	mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and 
	Financial Econometrics” is to highlight several areas of research by leading academics in which novel methods have contributed 
	significantly to time series and financial econometrics, including forecasting co-volatilities via factor models with asymmetry 
	and long memory in realized covariance, prediction of Lévy-driven CARMA processes, functional index coefficient models with 
	variable selection, LASSO estimation of threshold autoregressive models, high dimensional stochastic regression with latent 
	factors, endogeneity and nonlinearity, sign-based portmanteau test for ARCH-type models with heavy-tailed innovations, toward 
	optimal model averaging in regression models with time series errors, high dimensional dynamic stochastic copula models, a 
	misspecification test for multiplicative error models of non-negative time series processes, sample quantile analysis for 
	long-memory stochastic volatility models, testing for independence between functional time series, statistical inference for 
	panel dynamic simultaneous equations models, specification tests of calibrated option pricing models, asymptotic inference in 
	multiple-threshold double autoregressive models, a new hyperbolic GARCH model, intraday value-at-risk: an asymmetric 
	autoregressive conditional duration approach, refinements in maximum likelihood inference on spatial autocorrelation in panel 
	data, statistical inference of conditional quantiles in nonlinear time series models, quasi-likelihood estimation of a threshold 
	diffusion process, threshold models in time series analysis - some reflections, and generalized ARMA models with martingale 
	difference errors.
Keywords:  Time series, Financial econometrics, Threshold models, Conditional volatility, Stochastic
 volatility, Copulas, Conditional 
	duration.
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 second author wishes to thank the Australian Research Council and the National Science Council, Taiwan.
Classification-JEL: C22, C52, C58, G32.
Length: 23 pages
Creation-Date: 2015-02  
Number: 2015-04 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1504.txt
File-URL: https://eprints.ucm.es/id/eprint/28762/1/1504.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1504