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Editorial for the special issue on financial engineering and risk management for JoE
Oliver Linton, Zhengjun Zhang

Robust covariance estimation for approximate factor models
Jianqing Fan, Weichen Wang, Yiqiao Zhong

Large-dimensional factor modeling based on high-frequency observations
Markus Pelger

Knowing factors or factor loadings, or neither? Evaluating estimators of large covariance matrices with noisy and asynchronous data
Chaoxing Dai, Kun Lu, Dacheng Xiu

Estimating the integrated volatility with tick observations
Jean Jacod, Yingying Li, Xinghua Zheng

The algebra of two scales estimation, and the S-TSRV: High frequency estimation that is robust to sampling times
Per A. Mykland, Lan Zhang, Dachuan Chen

The scale of predictability
F.M. Bandi, B. Perron, A. Tamoni, C. Tebaldi

A unified test for predictability of asset returns regardless of properties of predicting variables
Xiaohui Liu, Bingduo Yang, Zongwu Cai, Liang Peng

Semiparametric estimation of the bid–ask spread in extended roll models
Xiaohong Chen, Oliver Linton, Stefan Schneeberger, Yanping Yi

Optimum thresholding using mean and conditional mean squared error
José E. Figueroa-López, Cecilia Mancini

Banded spatio-temporal autoregressions
Zhaoxing Gao, Yingying Ma, Hansheng Wang, Qiwei Yao

Factor models for matrix-valued high-dimensional time series
Dong Wang, Xialu Liu, Rong Chen

Daily price limits and destructive market behavior
Ting Chen, Zhenyu Gao, Jibao He, Wenxi Jiang, Wei Xiong

Climate risks and market efficiency
Harrison Hong, Frank Weikai Li, Jiangmin Xu

Tail event driven networks of SIFIs
Cathy Yi-Hsuan Chen, Wolfgang Karl Härdle, Yarema Okhrin

Mark to market value at risk
Yu Chen, Zhicheng Wang, Zhengjun Zhang

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