Financial Econometrics and Models
A special issue of Journal of Risk and Financial Management (ISSN 1911-8074). This special issue belongs to the section "Mathematics and Finance".
Deadline for manuscript submissions: closed (30 July 2023) | Viewed by 11150
Special Issue Editor
Special Issue Information
Dear Colleagues,
Since the Asian Financial Crisis in 1997, global financial markets have become increasingly interdependent both in terms of asset returns and return volatilities. This interdependence has further manifested by the 2008 Global Financial Crisis when a globally coordinated expansionary policy response was deemed necessary to bail out financial institutions to prevent a collapse of the global financial system. This Special Issue focuses on the use of “Financial Econometrics and Models” to investigate issues related to the interdependence of financial markets. To this end, we seek research articles that address modelling of dynamic relationships between asset returns and risks in various financial markets. In particular, we welcome articles on modelling the stochastic volatility of asset returns, return and volatility spillover between financial markets, for example, return and volatility spillover between stock markets across countries, the asymmetries of the spillover and or performance linkages between an industry (such as the hedge funds industry) and the stock market. In addition, articles on the effects of monetary policies (such as the QE) on financial markets, dynamic models for high frequency data, market indexes for better approximations of the market portfolio, characterisation of distributions of asset returns with heavy tails, and managerial behaviour and credit risk management in the financial sector are also encouraged.
Dr. Baiding Hu
Guest Editor
Manuscript Submission Information
Manuscripts should be submitted online at www.mdpi.com by registering and logging in to this website. Once you are registered, click here to go to the submission form. Manuscripts can be submitted until the deadline. All submissions that pass pre-check are peer-reviewed. Accepted papers will be published continuously in the journal (as soon as accepted) and will be listed together on the special issue website. Research articles, review articles as well as short communications are invited. For planned papers, a title and short abstract (about 100 words) can be sent to the Editorial Office for announcement on this website.
Submitted manuscripts should not have been published previously, nor be under consideration for publication elsewhere (except conference proceedings papers). All manuscripts are thoroughly refereed through a single-blind peer-review process. A guide for authors and other relevant information for submission of manuscripts is available on the Instructions for Authors page. Journal of Risk and Financial Management is an international peer-reviewed open access monthly journal published by MDPI.
Please visit the Instructions for Authors page before submitting a manuscript. The Article Processing Charge (APC) for publication in this open access journal is 1400 CHF (Swiss Francs). Submitted papers should be well formatted and use good English. Authors may use MDPI's English editing service prior to publication or during author revisions.
Keywords
- stochastic volatility
- GARCH
- VAR
- spillover
- interdependence