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