Themed Issue in the Journal of Econometrics – “New Perspectives in High-Frequency Financial Econometrics.”
Deadline for submission: December 31, 2022
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 December 1, 2022, through editorial express: editorialexpress.com/je. 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.)