13-021/III - Recent Developments in Financial Economics and Econometrics: An Overview

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taiwan; David Allen, Edith Cowan University, Australia; Michael McAleer, Erasmus University Rotterdam, Complutense University of Madrid, Spain; Kyoto University, Japan
  • Publication date
    January 21, 2013
  • 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 (see paper)
  • JEL
    G11, G12, G13, G15, G18