Financial econometrics – A new discipline with new methods
نویسندگان
چکیده
منابع مشابه
Financial Econometrics – a New Discipline with New Methods
Financial Econometrics is simply the application of econometric tools to financial data. For many years, least squares techniques provided satisfactory tools. Stock market forecasts, efficient market tests, and even tests of portfolio models such as the CAPM and APT were essentially implemented with least squares on cleverly manipulated data sets. More recently, however, the field has developed...
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We would like to congratulate Jianqing Fan for an excellent and well-written survey of some of the literature in this area. We will here focus on some of the issues which are at the research frontiers in financial econometrics but are not covered in the survey. Most importantly, we consider the estimation of actual volatility. Related to this is the realization that financial data is actually o...
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I am very grateful to the Executive Editor, Edward George, for organizing this stimulating discussion. I would like to take this opportunity to thank Professors Peter Phillips, Jun Yu, Michael Sørensen, Per Mykland and Lan Zhang for their insightful and stimulating comments, touching both practical, methodological and theoretical aspects of financial econometrics and their applications in asset...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2001
ISSN: 0304-4076
DOI: 10.1016/s0304-4076(00)00053-1