Special Issue "Financial Time Series: Methods & Models"
Deadline for manuscript submissions: closed (31 December 2019).
Interests: financial time series analysis; risk management; market risk; systemic risk; univariate and multivariate volatility models; quantitative portfolio allocation strategies; managed portfolios performance measurement; high-frequency data analysis and trading strategies; dynamic models for energy and weather applications
Special Issues, Collections and Topics in MDPI journals
Interests: time series econometrics; financial risk management; volatility modeling; time series analysis; time series; GARCH; time series forecasting
In the last two decades, thanks to the progress in information technology, large (in the cross-section) and ultra-high-frequency financial datasets have become increasingly available to the academic community. The rich dependence structure of these data has stimulated the demand for more complex dynamic models along different research lines. On one side, the larger cross-sectional dimensions—which are easily accessible—pose challenges to the use of multivariate models, with the need of specifying appropriate estimation approaches and/or to impose data- and economically-driven parameter restrictions. On the other side, the data available at high frequency push for the development of data cleaning and data management tools as pre-requisites for time series analyses. More recently, data integration aspects have received attention, and financial time series data become a source of information for the estimation of financial networks within multidimensional time series models.
Currently, approaches that are even more flexible are needed to properly extract the relevant information from a rapidly growing amount of data, resorting, for instance, to statistical learning approaches or to functional methods.
In this perspective, the purpose of this Special Issue is to collect works that point at the development of state-of-the art methods or models which are appropriate for the analysis of financial data with a most prominent focus on the forecasting of tail risk measures.Prof. Dr. Massimiliano Caporin
Prof. Dr. Giuseppe Storti
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 papers will be 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 1200 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.
- Financial time series
- Point and density forecasts
- High frequency
- Large dimensional problems
- Dynamic risk and quantile models
- Realized measures
- Finance analytics