期刊
JOURNAL OF ECONOMETRICS
卷 147, 期 1, 页码 1-4出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2008.09.025
关键词
Continuous-time model; Correlation test; Dynamic additive model; Estimation of realized volatility; Factor model; Long-range dependence
资金
- Australian Research Council Discovery
This paper gives an overview about the sixteen papers included in this special issue. The papers in this special issue cover a wide range of topics. Such topics include discussing a class of tests for correlation, estimation of realized volatility, modeling time Series and continuous-time models with long-range dependence, estimation and specification testing of time series models, estimation in a factor model with high-dimensional problems, finite-sample examination of quasi-maximum likelihood estimation in all autoregressive conditional duration model, and estimation in a dynamic additive quantile model. (C) 2008 Elsevier B.V. All rights reserved.
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