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15-026/III - Frontiers in Time Series and Financial Econometrics: An Overview

  • Authors
    Shiqing Ling, Hong Kong University of Science and Technology, Hong Kong, China; Michael McAleer, National Tsing Hua University, Taiwan; Erasmus School of Economics, Erasmus University Rotterdam, the Netherlands; and Complutense University of Madrid, Spain; Howell Tong, London School of Economics, United Kingdom
  • Publication date
    February 20, 2015
  • Keywords
    Time series, financial econometrics, threshold models, conditional volatility, stochastic volatility, copulas, conditional duration
  • JEL
    C22, C32, C58, G17, G32