EconPapers    
Economics at your fingertips  
 

THE ECONOMETRICS OF FINANCIAL MARKETS

Torben Andersen ()

Econometric Theory, 1998, vol. 14, issue 5, 671-685

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.

Date: 1998
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:etheor:v:14:y:1998:i:05:p:671-685_14

Access Statistics for this article

More articles in Econometric Theory from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Keith Waters ().

 
Page updated 2022-08-16
Handle: RePEc:cup:etheor:v:14:y:1998:i:05:p:671-685_14