CFEnetwork: The Annals of computational and financial econometrics: 2nd issue

Funding

Erricos J. Kontoghiorghes CFEnetwork Coordinators and Editors [email protected] Cyprus University of Technology, Cyprus Cyprus University of Technology Cyprus Queen Mary, University of London, UK Queen Mary, University of London UK Herman K. Van Dijk Erasmus Universiteit Rotterdam and VU University Amsterdam, The Netherlands Erasmus Universiteit Rotterdam and VU University Amsterdam The Netherlands David A. Belsley CFEnetwork Advisory Board Boston College, USA Boston College USA Tim Bollerslev Duke University, USA Duke University USA Francis X. Diebold University of Pennsylvania, USA University of Pennsylvania USA Jean-Marie Dufour McGill University, Canada McGill University Canada Robert Engle New York University, USA New York University USA Andrew Harvey University of Cambridge, UK University of Cambridge UK Siem Jan Koopman VU University Amsterdam, The Netherlands VU University Amsterdam The Netherlands Hashem Pesaran University of Cambridge, USA University of Cambridge USA Peter C.B. Phillips Yale University, University of Auckland, Singapore Management University, University of Southampton, USA Yale University, University of Auckland, Singapore Management University, University of Southampton USA Richard J. Smith University of Cambridge, UK University of Cambridge UK Mike West Duke University, USA Duke University USA Qiwei Yao London School of Economics, UK London School of Economics UK Alessandra Amendola CFEnetwork Associate Editors University of Salerno, Italy University of Salerno Italy Monica Billio University Ca’ Foscari of Venice, Italy University Ca’ Foscari of Venice Italy Cathy W.S. Chen Feng Chia University, Taiwan Feng Chia University Taiwan Carl Chiarella University of Technology, Sydney, Australia University of Technology Sydney Australia Ana Colubi University of Oviedo, Spain University of Oviedo Spain Manfred Deistler Vienna University of Technology, Austria Vienna University of Technology Austria Christian Francq CREST and University Lille III, France CREST and University Lille III France Marc Hallin Universite Libre de Bruxelles, Belgium Universite Libre de Bruxelles Belgium Eric Jacquier Boston University School of Management, USA Boston University School of Management USA Kenneth Judd Stanford University, USA Stanford University USA Gary Koop University of Strathclyde, UK University of Strathclyde UK Helmut Lütkepohl Freie Universität Berlin and DIW Berlin, Germany Freie Universität Berlin and DIW Berlin Germany James G. MacKinnon Queen’s University, Canada Queen’s University Canada Stefan Mittnik University of Munich, Germany University of Munich Germany Yasuhiro Omori University of Tokyo, Japan University of Tokyo Japan D.S.G. Pollock University of Leicester, UK University of Leicester UK Tommaso Proietti Università di Roma Tor Vergata, Italy Università di Roma Tor Vergata Italy Jeroen V.K. Rombouts ESSEC Business School, France ESSEC Business School France Olivier Scaillet University of Geneva and Swiss Finance Institute, Switzerland University of Geneva and Swiss Finance Institute Switzerland Willi Semmler New School for Social Research, USA New School for Social Research USA Mike K.P. So Hong Kong University of Science and Technology, China Hong Kong University of Science and Technology China Mark Steel University of Warwick, UK University of Warwick UK Robert Taylor University of Essex, UK University of Essex UK Elias Tzavalis Athens University of Economics & Business, Greece Athens University of Economics & Business Greece Jean-Michel Zakoian CREST, France CREST France H. Peter Boswijk CFEnetwork Guest Associate Editors University of Amsterdam, The Netherlands University of Amsterdam The Netherlands Alessandra Luati University of Bologna, Italy University of Bologna Italy John Maheu McMaster University, Canada McMaster University Canada The CFEnetwork (Computational and Financial Econometrics) is currently publishing the Annals of Computational and Financial Econometrics as a supplement to the journal of Computational Statistics & Data Analysis. The Annals of CFE serve as an outlet for distinguished research papers in computational econometrics and financial econometrics. Each issue is edited by several Guest Editors and CFEnetwork Editorial board who are responsible, together with the CSDA Co-Editors, for the selection of the papers. The first Issue of the CSDA Annals of Computational and Financial Econometrics comprised 51 papers (Computational Statistics & Data Analysis, Vol. 56, Issue (11), Pages 2991–3808, November 2012 ). The second Issue of the CSDA Annals of Computational and Financial Econometrics comprises 46 papers. Results presented in the Annals are of substantial interest for academic researchers and professionals in economics, econometrics, finance and computational fields. The CFEnetwork focuses on the interface of theoretical and applied econometrics, financial econometrics and computation in order to advance a powerful interdisciplinary research field with immediate applications. The CFEnetwork comprises a number of specialized teams in various research areas of computational and financial econometrics. The teams contribute to the activities of the network by organizing sessions, tracks and tutorials during the annual CFEnetwork meeting CFE. Further information can be obtained from the CFEnetwork: http://www.cfenetwork.org/