Financial Econometrics – a New Discipline with New Methods
نویسنده
چکیده
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 its individual character as new statistical tools have been invented to analyze new questions. In this short overview, I would like to suggest a framework that includes much of the recent literature and important tools of Financial Econometrics. Let t P be a vector of
منابع مشابه
A new method for fuzzification of nested dummy variables by fuzzy clustering membership functions and its application in financial economy
In this study, the aim is to propose a new method for fuzzification of nested dummy variables. The fuzzification idea of dummy variables has been acquired from non-linear part of regime switching models in econometrics. In these models, the concept of transfer functions is like the notion of fuzzy membership functions, but no principle or linguistic sentence have been used for inputs. Consequen...
متن کاملThe Present and Future of Financial Risk Management
Current research on financial risk management applications of econometrics centers on the accurate assessment of individual market and credit risks with relatively little theoretical or applied econometric research on other types of risk, aggregation risk, data incompleteness, and optimal risk control. We argue that consideration of the model risk arising from crude aggregation rules and inadeq...
متن کاملFrontiers in Time Series and Financial Econometrics: An Overview
Two of the fastest growing frontiers in econometrics and quantitative finance are time series and financial econometrics. Significant theoretical contributions to financial econometrics have been made by experts in statistics, econometrics, mathematics, and time series analysis. The purpose of this special issue of the journal on “Frontiers in Time Series and Financial Econometrics” is to highl...
متن کاملTranslation Studies: Pre-Discipline, Discipline, Interdiscipline, and Post-Discipline
In the West, Translation Studies as a discipline has a very short but lively history. Founded in the early 1970s in the Low Countries—Holland and Belgium—translation studies is a fairly new field. Yet, today some theorists suggest that the discipline is too limited to translated texts and excludes much translation data being generated from other fields of inquiry, including theater, art, archit...
متن کاملDEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND Econometric Analysis of Financial Derivatives: An Overview
One of the fastest growing areas in empirical finance, and also one of the least rigorously analyzed, especially from a financial econometrics perspective, is the econometric analysis of financial derivatives, which are typically complicated and difficult to analyze. The purpose of this special issue of the Journal of Econometrics on “Econometric Analysis of Financial Derivatives” is to highlig...
متن کامل