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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.

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

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Challenging problems arise in all segments of energy industries—generation, transmission, distribution and consumption. Optimization models and methods play a key role in offering decision/policy makers better information to assist them in making sounder decisions at different levels, ranging from operational to strategic planning.

multi-objective optimization --- nondominated sorting genetic algorithm (NSGA) --- multi-criteria decision making (MCDM) --- technique for the order of preference by similarity to the ideal solution (TOPSIS) --- life cycle cost --- scenario-based multistage stochastic programming --- energy system management model --- stochastic robust optimization --- electric-power structure adjustment --- energy conservation and emissions reduction --- building microgrid --- component outage --- energy network --- islanded microgrids --- microgrid operation --- re-optimization and rescheduling --- portfolio analysis --- semi-mean-absolute deviation model --- fuzzy set theory --- optimal power generation mix --- oil storage plants --- domino effect --- firefighting --- optimization --- graph theory --- influence diagram --- heating ventilation and air-conditioning (HVAC) --- demand side management --- occupancy-based control --- predicted mean vote (PMV) --- optimization --- electrical distribution systems --- meshed topology --- mixed integer linear programing --- stochastic programming --- variable renewable power --- flexibility option --- integrated energy system --- generation expansion planning --- combined heat and power --- feasible operation region --- generation efficiency --- mixed integer linear programming --- net demand --- wind power forecasting --- long-term forecasting --- intermittent sources --- Markov chain Monte Carlo