The Annals of Computational and Financial Econometrics, first issue

Abstract

The Annals of Computational and Financial Econometrics (CFE)will be published as a supplement to the CSDA journal to serve as an outlet for distinguished research papers in computational econometrics and financial econometrics. The high standards of the Annals will make it a valuable resource for econometric research. Each issue will be edited by several Guest Editors and Associated Editors who will be responsible, together with the Annals of CFE Managing Editors and CSDA Coeditors, for the selection of the papers. Of particular interest are papers in important areas of econometric applications where both computational techniques and numerical methods have a major impact. The goal is to provide sources of information about the most recent developments in computational and financial econometrics that are currently scattered throughout publications in specialized areas. Results presented in the Annals are of substantial interest for academic researchers and professionals in economics, econometrics, finance and computational fields. The broad field of computational and financial econometrics has clearly interested a wide variety of researchers in economics, finance, statistics, mathematics and computing. Examples include financial time-series analyses that focus on efficient and robust portfolio allocations over time, asset valuations with emphases on option pricing, volatility measurements, models of market microstructure effects, and credit risk. While such studies are often theoretical, they can also have a strong empirical element often associated with a significant computational aspect dealing with issues like high dimensionality and large numbers of observations. Algorithmic developments are also of interest since existing algorithms often do not utilize the best computational techniques for efficiency, stability, or conditioning. So also are developments of environments for conducting econometrics, which are inherently computer based. Integrated econometrics packages have grown well over the years, but still have much room for development. Previously the CSDA has published a number of special issues on computational and financial econometrics that have addressed computational and numerical methods used in solving theoretical and practical issues associated with econometric algorithms, the impact of computing on econometrics, specific applications involving computing and econometrics, and data-analytic methods in finance. These special issues indicate the importance of computing in econometrics and highlight research opportunities that exist in this discipline. The first issue of the CSDA Annals of Computational and Financial Econometrics comprises 51 papers. It incorporates the 6th CSDA special issue on Computational Econometrics. Authors submitting a paper to the CSDA Annals of CFE should use the Elsevier Editorial System and select Annals of Computational and Financial Econometrics (http://ees.elsevier.com/csda).