Publication:
Recent Developments in Financial Economics and Econometrics: An Overview

Loading...
Thumbnail Image
Official URL
Full text at PDC
Publication Date
2013-01
Advisors (or tutors)
Editors
Journal Title
Journal ISSN
Volume Title
Publisher
Citations
Google Scholar
Research Projects
Organizational Units
Journal Issue
Abstract
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and Econometrics”. The breadth of coverage is substantial, and includes original research and comprehensive review papers on theoretical, empirical and numerical topics in Financial Economics and Econometrics by leading researchers in finance, financial economics, financial econometrics and financial statistics. The purpose of this special issue on “Recent Developments in Financial Economics and econometrics” is to highlight several novel and significant developments in financial economics and financial econometrics, specifically dynamic price integration in the global gold market, a conditional single index model with local covariates for detecting and evaluating active management, whether the Basel Accord has improved risk management during the global financial crisis, the role of banking regulation in an economy under credit risk and liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and recurrence plots for detecting financial crisis, how news sentiment impacts asset volatility, with evidence from long memory and regime-switching approaches, quantitative evaluation of contingent capital and its applications, high quantiles estimation with Quasi-PORT and DPOT, with an application to value-at-risk for financial variables, evaluating inflation targeting based on the distribution of inflation and inflation volatility, the size effects of volatility spillovers for firm performance and exchange rates in tourism, forecasting volatility with the realized range in the presence of noise and non-trading, using CARRX models to study factors affecting the volatilities of Asian equity markets, deciphering the Libor and Euribor spreads during the subprime crisis, information transmission between sovereign debt CDS and other financial factors for Latin America, time-varying mixture GARCH models and asymmetric volatility, and diagnostic checking for non-stationary ARMA models with an application to financial data.
Description
Unesco subjects
Keywords
Citation
Addo, P.M., M. Billio and D. Guegan (2013), “Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis”, to appear in North American Journal of Economics and Finance, this issue. Allen, D.E., A.K. Singh and R.J. Powell (2013), “EVT and Tail-risk Modellilng: Evidence from Market Indices and Volatility Series”, to appear in North American Journal of Economics and Finance, this issue. Araujo Santos, P., I. Fraga Alves and S. Hammoudeh (2013), “High Quantiles Estimation with Quasi-PORT and DPOT: An Application to Value-at-Risk for Financial Variables”, to appear in North American Journal of Economics and Finance, this issue. Bannouh, K., M. Martens and D. van Dijk (2013), “Forecasting Volatility with the Realized Range in the Presence of Noise and Non-trading", to appear in North American Journal of Economics and Finance, this issue. Caporin, M. and F. Lisi (2013), “A Conditional Single Index Model with Local Covariates for Detecting and Evaluating Active Management”, to appear in North American Journal of Economics and Finance, this issue. Chan, C.-C., B.-H. Lin, Y.-H. Chang and W.-C. Liao (2013), “Does Bank Relationship Matter for Corporate Risk Taking? Evidence from Listed Firms in Taiwan”, to appear in North American Journal of Economics and Finance, this issue. Chang, C.-L., J.-C. Chang, Y.W. Huang (2013), “Dynamic Price Integration in the Global Gold Market”, to appear in North American Journal of Economics and Finance, this issue. Chang, C.-L., H.-K. Hsu and M. McAleer (2013), Is Small Beautiful? Size Effects of Volatility Spillovers for Firm Performance and Exchange Rates in Tourism”, to appear in North American Journal of Economics and Finance, this issue. Garvey, J. and L.A. Gallagher (2013), “The Economics of Data: Using Simple Model Free Volatility in a High Frequency World”, to appear in North American Journal of Economics and Finance, this issue. Ginindza, M. and E. Maasoumi (2013), “Evaluating Inflation Targeting Based on the Distribution of Inflation and Inflation Volatility”, to appear in North American Journal of Economics and Finance, this issue. Gupta, A., T. Akuzawa and Y. Nishiyama (2013), “Quantitative Evaluation of Contingent Capital and its Applications”, to appear in North American Journal of Economics and Finance, this issue. Haas, M., J. Krause, M.S. Paolella and S.C. Steude (2013), “Time-varying Mixture GARCH Models and Asymmetric Volatility”, to appear in North American Journal of Economics and Finance, this issue. Ho, K.-Y., Y. Shi and Z. Zhang (2013), “How Does News Sentiment Impact Asset Volatility? Evidence from Long Memory and Regime-switching Approaches”, to a ppear in North American Journal of Economics and Finance, this issue. Kotze, A., C.C.A. Labuschagne, M.L. Nair and N. Padayachi (2013), “Arbitrage-free Implied Volatility Surfaces for Options on Single Stock Futures”, to appear in North American Journal of Economics and Finance, this issue. Kunitomo, N. and S. Sato (2013), “Separating Information Maximum Likelihood Estimation of the Integrated Volatility and Covariance with Micro-market Noise”, to appear in North American Journal of Economics and Finance, this issue. Kuo, C.-S. and S.-T. Yu (2013), “The Non-uniform Pricing Effect of Employee Stock Options Using Quantile Regression”, to appear in North American Journal of Economics and Finance, this issue. Ling, S., K. Zhu and C.C. yee (2013), “Diagnostic checking for non-stationary ARMA models with an application to financial data”, to appear in North American Journal of Economics and Finance, this issue. McAleer, M., J.-A. Jiménez-Martín and T. Pérez-Amaral (2013), “Has the Basel Accord improved risk management during the global financial crisis?”, to appear in North American Journal of Economics and Finance, this issue. Ng, A.C.Y., J.S.H. Li and W.-S. Chan (2013), “Pricing Options on Stocks Denominated in Different Currencies: Theory and Illustrations”, to appear in North American Journal of Economics and Finance, this issue. Pelizzon, L. and D. Sartore (2013), “Deciphering the Libor and Euribor Spreads During the Subprime Crisis”, to appear in North American Journal of Economics and Finance, this issue. So, M.K.P., J. Wong and M. Asai (2013), “Stress Testing Correlation Matrices for Risk Management”, to appear in North American Journal of Economics and Finance, this issue. Soares da Silva, M. and J.A. Divino (2013), “The Role of Banking Regulation in an Economy Under Credit Risk and Liquidity Shock”, to appear in North American Journal of Economics and Finance, this issue. Wang, A.T., S.-Y. Yang and N.-T. Yang (2013), “Information transmission between sovereign debt CDS and other financial factors: The case of Latin America”, to appear in North American Journal of Economics and Finance, this issue.