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Frontiers in Time Series and Financial Econometrics: An overview
–Shiqing Ling, Michael McAleer, Howell Tong [] []

Forecasting co-volatilities via factor models with asymmetry and long memory in realized covariance
–Manabu Asai, Michael McAleer [] []

Prediction of Lévy-driven CARMA processes
–Peter J. Brockwell, Alexander Lindner [] []

Functional index coefficient models with variable selection
–Zongwu Cai, Ted Juhl, Bingduo Yang [] []

LASSO estimation of threshold autoregressive models
–Ngai Hang Chan, Chun Yip Yau, Rong-Mao Zhang [] []

High dimensional stochastic regression with latent factors, endogeneity and nonlinearity
–Jinyuan Chang, Bin Guo, Qiwei Yao [] []

Sign-based portmanteau test for ARCH-type models with heavy-tailed innovations
–Min Chen, Ke Zhu [] []

Toward optimal model averaging in regression models with time series errors
–Tzu-Chang F. Cheng, Ching-Kang Ing, Shu-Hui Yu [] []

High dimensional dynamic stochastic copula models
–Drew D. Creal, Ruey S. Tsay [] []

A misspecification test for multiplicative error models of non-negative time series processes
–Jiti Gao, Nam Hyun Kim, Patrick W. Saart [] []

Sample quantile analysis for long-memory stochastic volatility models
–Hwai-Chung Ho [] []

Testing for independence between functional time series
–Lajos Horváth, Gregory Rice [] []

Statistical inference for panel dynamic simultaneous equations models
–Cheng Hsiao, Qiankun Zhou [] []

Specification tests of calibrated option pricing models
–Robert Jarrow, Simon Sai Man Kwok [] []

Asymptotic inference in multiple-threshold double autoregressive models
–Dong Li, Shiqing Ling, Jean-Michel Zakoïan [] []

A new hyperbolic GARCH model
–Muyi Li, Wai Keung Li, Guodong Li [] []

Intraday Value-at-Risk: An asymmetric autoregressive conditional duration approach
–Shouwei Liu, Yiu-Kuen Tse [] []

Refinements in maximum likelihood inference on spatial autocorrelation in panel data
–Peter M. Robinson, Francesca Rossi [] []

Statistical inference for conditional quantiles in nonlinear time series models
–Mike K.P. So, Ray S.W. Chung [] []

Quasi-likelihood estimation of a threshold diffusion process
–Fei Su, Kung-Sik Chan [] []

Threshold models in time series analysis—Some reflections
–Howell Tong [] []

Generalized ARMA models with martingale difference errors
–Tingguo Zheng, Han Xiao, Rong Chen [] []

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