Rejoinder: A Selective Overview of Nonparametric Methods in Financial Econometrics

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 pricing, portfolio allocation and risk management. They have made valuable contributions to the understanding of various financial econometric problems. The last two decades have witnessed an explosion of developments of data-analytic techniques in statistical modeling and analysis of complex systems. At the same time, statistical techniques have been widely employed to confront various complex problems arising from financial and economic activities. While the discipline has grown rapidly over the last two decades and has rich and challenging statistical problems, the number of statisticians involved in studying financial econometric problems is still limited. In comparison with statisticians working on problems in biological sciences and medicine, the group working on financial and econometric problems is dismally small. It is my hope that this article will provide statisticians with quick access to some important and interesting problems in financial econometrics and to catalyze the romance between statistics and finance. A similar effort was made by Cai and Hong [12], where various aspects of nonparametric methods in continuous-time finance are reviewed. It is my intention to connect financial econometric problems as closely to statistical problems as possible so that familiar statistical tools can be employed. With this in mind, I sometimes oversimplify the problems and techniques so that key features can be highlighted.