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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