文章基本信息

标题：Financial Time Series: Methods and Models
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作者：Caporin, Massimiliano ; Storti, Giuseppe
期刊名称：Journal of Risk and Financial Management
印刷版ISSN：1911-8074
出版年度：2020
卷号：13
期号：5
页码：1-3
DOI：10.3390/jrfm13050086
语种：English
出版社：MDPI, Open Access Journal
摘要：The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of Risk and Financial Management on “Financial Time Series: MethodsandModels” contributes to the evolution of research on the analysis of financial time series by presenting a diversified collection of scientific contributions exploring different lines of research within this field.
关键词：financial time series; GARCH models; capital markets; emerging markets; realized volatility; dynamic conditional correlation models; cointegration; model-based clustering; structural breaks; market efficiency; misery index