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