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The Econometrics Of Financial Markets

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  • Andersen, Torben G.

Abstract

The abundance of high-frequency financial data and the rapid development of computer hardware have combined to transform financial economics into, arguably, the most empirically oriented field within the social sciences. At the same time, as a result of the difficulty of conducting genuine market experiments, empirical finance remains firmly grounded in the tradition of model-driven statistical inference that is characteristic of economics. Even so, the richness of data has often spurred a practical orientation that is more familiar in the natural sciences. The combination has proved fertile, leading to the classification of a set of loosely connected empirical topics as a distinct entity, financial econometrics.

Suggested Citation

  • Andersen, Torben G., 1998. "The Econometrics Of Financial Markets," Econometric Theory, Cambridge University Press, vol. 14(5), pages 671-685, October.
    • Handle: RePEc:cup:etheor:v:14:y:1998:i:05:p:671-685_14
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    Cited by:

    1. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & Georgios P. Kouretas, 2006. "Regime switching and artificial neural network forecasting of the Cyprus Stock Exchange daily returns," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 11(4), pages 371-383.
    2. Chueh-Yung Tsao, 2010. "Portfolio selection based on the mean-VaR efficient frontier," Quantitative Finance, Taylor & Francis Journals, vol. 10(8), pages 931-945.
    3. Eleni Constantinou & Robert Georgiades & Avo Kazandjian & George Kouretas, 2005. "Regime Switching and Artificial Neural Network Forecasting," Working Papers 0502, University of Crete, Department of Economics.

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