Themed Issue in the Journal of Econometrics – “New Perspectives in High-Frequency Financial Econometrics.”

Deadline for submission: January 31, 2023

We invite submissions on a special issue in the Journal of Econometrics on the theme “New Perspectives in High-Frequency Financial Econometrics.” It follows and is inspired by the contributions at the conference “Intrinsic Time in Finance,” which was held in Allensbach (Lake Constance, Germany) on May 6-7, 2022.

Papers on recent developments regarding new methods, measures and econometric approaches to exploit the richness of the information content of available ultra-high frequency financial market data from alternative perspectives, such as intrinsic time and beyond, are welcome. The contributions can be theoretical, empirical and/or computational.

All submissions should be made before January 31, 2023, through editorial express: Make sure that in “Step 2: Provide Submission Information“ à “Category of Submission” you select “Themed Issue: High Frequency Econometrics“. All articles will be refereed and will follow the Journal of Econometrics quality policy.

Associate Guest Editors:

• Christian Gourieroux (CREST, France; University of Toronto, Canada)

• Roxana Halbleib (University of Freiburg, Germany)

• Ingmar Nolte (Lancaster University, U.K.)

• George Tauchen (Duke University, U.S.)

• Viktor Todorov (Northwestern University, U.S.)

Journal Co-Editor: Torben G. Andersen (Kellogg School, Northwestern University, U.S.)