Financial econometrics: Past developments and future challenges

被引：29
|
作者：
Bollerslev, T [1 ]
机构：
[1] Duke Univ, Dept Econ, Durham, NC 27708 USA
[2] NBER, Cambridge, MA 02138 USA
来源：
JOURNAL OF ECONOMETRICS | 2001年 / 100卷 / 01期
基金：
美国国家科学基金会;
关键词：
ARCH; GMM; high-frequency data; long memory; continuous time modeling; risk-neutral distributions;
D O I：
10.1016/S0304-4076(00)00052-X
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The held of financial econometrics has had a glamorous run during the life span of the Journal of Econometrics. This note provides a selective summary of the most important developments in the field over the past two decades, notably ARCH and GMM, along with a discussion of promising avenues for future research. (C) 2001 Elsevier Science S.A. Ail rights reserved. JEL classification: C1; G1.
引用
收藏
页码：41 / 51
页数：11
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