Financial econometrics: Past developments and future challenges

被引：54

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 [经济学];

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

页码：41 / 51

页数：11

共 101 条

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