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Financial econometrics has developed into a very fruitful and vibrant research area in the last two decades. The availability of good data promotes research in this area, specially aided by online data and high-frequency data. These two characteristics of financial data also create challenges for researchers that are different from classical macro-econometric and micro-econometric problems. This Special Issue is dedicated to research topics that are relevant for analyzing financial data. We have gathered six articles under this theme.

tuning parameter choice --- Markov process --- model averaging --- n/a --- steady state distributions --- realized volatility --- threshold --- risk prices --- threshold auto-regression --- bond risk premia --- linear programming estimator --- volatility forecasting --- Bayesian inference --- asset price bubbles --- stationarity --- deviance information criterion --- model selection --- probability integral transform --- forecast comparisons --- Markov-Chain Monte Carlo --- explosive regimes --- multivariate nonlinear time series --- Tukey’s power transformation --- affine term structure models --- Mallows criterion --- nonlinear nonnegative autoregression --- TVAR models --- stochastic conditional duration --- shrinkage --- Tukey's power transformation